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Elena Casquel and Ezequiel Uriel
''An efficient monte carlo study of two-step generalized least squares estimators for random-effects panel data models''
( 2002, Vol. 3 No.23 )
Using efficient Monte Carlo methods, the performance of two-step Generalized Least Squares (GLS) estimators for the one-way error components models in small samples is analyzed. In our approach, we focus on the two-step GLS estimators provided by the programs LIMDEP, RATS and TSP, which mainly differ in the solution of negative variance components problem. Our main result is that the use of non negative first-step estimators, as RATS, produces a considerably efficiency loss. We greatly improve the efficiency of simulations using a control variate that can be implemented with no virtually computational cost.
JEL: C1 - Econometric and Statistical Methods: General
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Aug 22 2002 Manuscript Accepted : Oct 01 2002

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