A note on bias-corrected estimation in dynamic panel data models

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 T. Subsequently we provide corrected version of the bias correction procedure which is fixed T consistent and robust to both cross-sectional and time-series heteroscedasticity.

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Year of publication:	2013
Authors:	Juodis, Artūras
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 3, p. 435-438
Publisher:	Elsevier
Subject:	Dynamic panel data \| Bias correction \| Fixed T consistency \| Heteroscedasticity

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Type of publication:	Article
Classification:	C13 - Estimation ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011041565