Bias in Dynamic Panel Models Under Time Series Misspecification

We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed effects, where the lag order is possibly misspecified. Even when disregarding the misspecification bias, the fixed-effect bias formula is quite different from the correctly specified case though its asymptotic order remains the same under the stationarity. We suggest bias reduction methods under the possible time series misspecification

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Year of publication:	2011
Authors:	Lee, Yoonseok
Publisher:	[S.l.] : SSRN
Subject:	Panel \| Panel study \| Systematischer Fehler \| Bias \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Momentenmethode \| Method of moments

Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 9, 2011 erstellt
Other identifiers:	10.2139/ssrn.1845867 [DOI]
Classification:	C23 - Models with Panel Data ; C33 - Models with Panel Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014182069