Bias-corrected estimation in dynamic panel data models with heteroscedasticity

DOI10.1016/j.econlet.2006.02.008zbMath1255.62340OpenAlexW2086556222MaRDI QIDQ1929404

Maurice J. G. Bun, Martin A. Carree

Publication date: 8 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.02.008

zbMATH Keywords

bias correctionleast squares dummy variable estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (7)

Unit root tests for panel data with AR(1) errors and small T ⋮ Dynamic firm performance and estimator choice: a comparison of dynamic panel data estimators ⋮ Asymptotic inferences in a doubly-semi-parametric linear longitudinal mixed model ⋮ Identification of parametric models with a priori knowledge of process properties ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ Two-step spline estimating equations for generalized additive partially linear models with large cluster sizes ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

Cites Work

• Initial conditions and moment restrictions in dynamic panel data models
• Another look at the instrumental variable estimation of error-components models
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• A bias-corrected least squares estimator of dynamic panel models
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• On the diminishing returns of higher-order terms in asymptotic expansions of bias
• Biases in Dynamic Models with Fixed Effects
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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