- Bias-corrected Estimation in Dynamic Panel data Models with Heteroscedasticity
- Economics Letters
- Volume | Issue number
- 92 | 2
- Pages (from-to)
- 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
- go to publisher's site
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.