Nearly unbiased estimation in dynamic panel data models with exogenous variables

Martin A. Carree

This paper introduces a new estimator for the fixed effects dynamic panel data model withexogenous variables. This estimator does not share some of the drawbacks of recently developed IVand GMM estimators and has a good performance even in small samples. The nearly unbiased estimatoris derived as a bias correction of the within estimator (least squares dummy variable estimator).The estimator is applied to a model of unemployment dynamics at the U.S. state level for the1991-2000 period.

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Year of publication:	2002
Authors:	Carree, Martin Anthony
Publisher:	Rotterdam [u.a.] : Tinbergen Inst.
Subject:	panel data \| fixed effects \| nearly unbiased estimation \| Panel \| Panel study \| Schätztheorie \| Estimation theory \| Dynamische Wirtschaftstheorie \| Economic dynamics \| Systematischer Fehler \| Bias