Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence

Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence

Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the cross section sample size N --> ∞. The results extend earlier work by Nickell [1981. Biases in dynamic models with fixed effects. Econometrica 49, 1417-1426] and later authors in several directions that are...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., SUL, Donggyu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Autoregression
Bias
Bias correction
Cross section dependence
Dynamic factors
Dynamic panel estimation
Incidental trends
Panel unit root
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/284
https://ink.library.smu.edu.sg/context/soe_research/article/1283/viewcontent/Bias_in_dynamic_panel_estimation_2007.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/284
https://ink.library.smu.edu.sg/context/soe_research/article/1283/viewcontent/Bias_in_dynamic_panel_estimation_2007.pdf

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