A note on bias-corrected estimation in dynamic panel data models
| Authors |
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| Publication date |
2013
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| Journal |
Economics Letters
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| Volume | Issue number |
118 | 3
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| Pages (from-to) |
435-438
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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| Abstract |
In this note we extend the method proposed in Bun and Carree (2006) to the more general PVARX(1) model and show that the iterative procedure is not consistent for fixed TT. Subsequently we provide corrected version of the bias correction procedure which is fixed TT consistent and robust to both cross-sectional and time-series heteroscedasticity.
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| Document type |
Article
|
| Language |
English
|
| Published at |
https://doi.org/10.1016/j.econlet.2012.12.013
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