influence functions of the endogenous probit model’s classical estimators (the maximum likelihood and the two-step estimator … obtain a robust alternative estimator, prove its asymptotic normality and provide its asymptotic variance. A simple robust … simulations with different types of contamination scenarios. The use of our estimator is illustrated in several empirical …

-step OLS estimator that is biased, and has weak power and size, FMOLS also has poor finite-T properties. I show that FMOLS … asymptotically leave an O(h/T) fraction of the OLS bias, where h is the selected bandwidth.I also propose an improved estimator … (asymptotically) nuisance parameter-free. My improved estimator permits analysing wider panels.In the scenarios reviewed by previous …

We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted … the performance of WALS with that of several competing estimators, including the unrestricted least-squares estimator … (with all auxiliary regressors) and the restricted least-squares estimator (with no auxiliary regressors), two post …

LDV is known to be of order 1/T, we show that the Nickell-type bias in the estimator of the treatment effect is of order 1 …