Bias in dynamic panel models under time series misspecification
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Publication:527974
DOI10.1016/j.jeconom.2012.01.009zbMath1443.62275OpenAlexW3124116384MaRDI QIDQ527974
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000103
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (12)
Estimation and identification of latent group structures in panel data ⋮ Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects ⋮ Bias-corrected estimation of panel vector autoregressions ⋮ NONPARAMETRIC ESTIMATION OF DYNAMIC PANEL MODELS WITH FIXED EFFECTS ⋮ Nonparametric estimation of the marginal effect in fixed-effect panel data models ⋮ Depth-weighted means of noisy data: an application to estimating the average effect in heterogeneous panels ⋮ Indirect inference estimation of dynamic panel data models ⋮ Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects ⋮ Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes ⋮ Model selection in the presence of incidental parameters ⋮ ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING ⋮ Panel data nowcasting
Cites Work
- Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
- Linear prediction by autoregressive model fitting in the time domain
- On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
- Panel AR(1) estimators under misspecification
- BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS
- Properties of Predictors in Misspecified Autoregressive Time Series Models
- Biases in Dynamic Models with Fixed Effects
- Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
- Linear Regression Limit Theory for Nonstationary Panel Data
- The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
- 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
- Consistent Estimates Based on Partially Consistent Observations
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