Estimating Dynamic Panel Models : Backing Out the Nickell Bias

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.
Other Persons:	Pinkovskiy, Maxim (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Panel \| Panel study \| Systematischer Fehler \| Bias \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (25 p)
Series:	FRB of NY Staff Report ; No. 824
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2017-10-01 erstellt
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/10012944028