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

DOI10.1016/j.jeconom.2006.03.009zbMath1360.62546OpenAlexW2246215472MaRDI QIDQ278496

Donggyu Sul, Peter C. B. Phillips

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/284

zbMATH Keywords

biaspanel unit rootdynamic factorsautoregressionbias correctioncross section dependencedynamic panel estimationincidental trends

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (36)

Testing for unit roots in short panels allowing for a structural break ⋮ Unit root tests for panel data with AR(1) errors and small T ⋮ Estimation and identification of latent group structures in panel data ⋮ Challenges for Panel Financial Analysis ⋮ Cross-Sectional Dependence in Panel Data Analysis ⋮ A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence ⋮ Nonparametric Estimation in Large Panels with Cross-Sectional Dependence ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ Bias-corrected estimation in dynamic panel data models with heteroscedasticity ⋮ Time-specific average estimation of dynamic panel regressions ⋮ Estimation of heterogeneous panels with structural breaks ⋮ The persistence of wages ⋮ Panel vector autoregression under cross-sectional dependence ⋮ Bootstrap inference for linear dynamic panel data models with individual fixed effects ⋮ MULTISTEP PREDICTION OF PANEL VECTOR AUTOREGRESSIVE PROCESSES ⋮ Identification of parametric models with a priori knowledge of process properties ⋮ On the impact of error cross-sectional dependence in short dynamic panel estimation ⋮ Sieve estimation of panel data models with cross section dependence ⋮ Asymptotic distribution of factor augmented estimators for panel regression ⋮ Bias in dynamic panel models under time series misspecification ⋮ A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model ⋮ Indirect inference for dynamic panel models ⋮ Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends ⋮ GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY ⋮ Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ Inference on trending panel data ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ Dynamic panel estimation and homogeneity testing under cross section dependence ⋮ ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING ⋮ Double filter instrumental variable estimation of panel data models with weakly exogenous variables ⋮ Multistep forecast selection for panel data ⋮ Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^† ⋮ Panel data nowcasting ⋮ PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS

Cites Work

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• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• A note on autoregressive error components models
• Inference for unit roots in dynamic panels where the time dimension is fixed
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• Testing for a unit root in panels with dynamic factors
• ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
• Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean
• Biases in Dynamic Models with Fixed Effects
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Panel Data Econometrics
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data
• Determining the Number of Factors in Approximate Factor Models
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• The Generalized Dynamic Factor Model
• Consistent Estimates Based on Partially Consistent Observations
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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