Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix

DOI10.1081/ETC-120017973zbMath1098.62582MaRDI QIDQ4797690

Maurice J. G. Bun

Publication date: 6 March 2003

Published in: Econometric Reviews (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10)

Related Items (4)

Indirect inference estimation of dynamic panel data models ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ Bootstrap-based bias correction for dynamic panels ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

Cites Work

• Bias assessment and reduction in linear error-correction models
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models
• Estimating dynamic panel data models: A guide for macroeconomists

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