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

• 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
• Institution: Singapore Management University

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...