Estimation and inference in dynamic unbalanced panel-data models with a small number of individuals

This article describes a new Stata routine, xtlsdvc, that computes bias-corrected least-squares dummy variable (LSDV) estimators and their bootstrap variance-covariance matrix for dynamic (possibly) unbalanced panel-data models with strictly exogenous regressors. A Monte Carlo analysis is carried out to evaluate the finite-sample performance of the bias-corrected LSDV estimators in comparison to the original LSDV estimator and three popular N-consistent estimators: Arellano-Bond, Anderson-Hsiao and Blundell-Bond. Results strongly support the bias-corrected LSDV estimators according to bias and root mean squared error criteria when the number of individuals is small.