Estimating dynamic panel models : backing out the Nickell bias

Jerry A. Hausman, Maxim L. Pinkovskiy

We propose a novel estimator for the dynamic panel model, which solves the failure of strict exogeneity by calculating the bias in the first-order conditions as a function of the autoregressive parameter and solving the resulting equation. We show that this estimator performs well as compared with approaches in current use. We also propose a general method for including predetermined variables in fixed-effects panel regressions that appears to perform well.

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Year of publication:	[2017]
Authors:	Hausman, Jerry A. ; Pinkovskiy, Maxim L.
Publisher:	New York, NY : Federal Reserve Bank of New York
Subject:	dynamic panel data \| bias correction \| econometrics \| Panel \| Panel study \| Systematischer Fehler \| Bias \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| Ökonometrie \| Econometrics \| Momentenmethode \| Method of moments

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Extent:	1 Online-Ressource (circa 25 Seiten)
Series:	Staff reports / Federal Reserve Bank of New York. - New York, NY : [Verlag nicht ermittelbar], ZDB-ID 2189304-4. - Vol. no. 824 (October 2017)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/189865 [Handle]
Classification:	C2 - Econometric Methods: Single Equation Models ; C23 - Models with Panel Data ; c26
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011742410