On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias

The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the major part of the actual bias in small samples. This implies that bias correction procedures can be based on relatively simple bias approximation formulas.

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Year of publication:	2002
Authors:	Bun, Maurice J.G. ; Kiviet, Jan F.
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Bias \| Panelforschung \| Theorie \| Mymptotic expansion \| biM approximation \| dynamic panel data model \| finite sample biM \| LSDV estimator

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Series:	Tinbergen Institute Discussion Paper ; 02-099/4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	834824604 [GVK] hdl:10419/85840 [Handle] RePEc:dgr:uvatin:20020099 [RePEc]
Classification:	C13 - Estimation ; C23 - Models with Panel Data
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324812