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:	2012
Authors:	Lee, Yoonseok
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 169.2012, 1, p. 54-60
Publisher:	Elsevier
Subject:	Dynamic panel \| Fixed effects \| Misspecification \| Bias reduction \| Lag order

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Type of publication:	Article
Classification:	C23 - Models with Panel Data ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010574080