- Bias-corrected Estimation in Dynamic Panel data Models with Heteroscedasticity
- Economics Letters
- Volume | Issue number
- 92 | 2
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- This study extends earlier results on bias-corrected estimators for the fixed-effects dynamic panel data model. We derive
the inconsistency of the LSDV estimator for finite T and N large in case of both time-series and cross-section heteroscedasticity
and show how to implement it in bias correction procedures.
Keywords: Bias correction; Dynamic panel data model; Heteroscedasticity; Least squares dummy variable estimator
JEL classification codes: C13; C23
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