Asymptotic expansions are employed in a dynamic regression model with a unit root inorder to find approximations for the bias, the variance and for the mean squared error of theleast-squares estimator of all coefficients. It is found that in this particular context suchexpansions exist only when...

An attempt is made to set rules for a fair and fruitful competition between alternative inference methods based on their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their background we criticize aspects of many simulation studies that...

Through Monte Carlo experiments the small sample behavior is examinedof various inference techniques for dynamic panel data models whenboth the time-series and cross-section dimensions of the data set aresmall. The LSDV technique and corrected versions of it are comparedwith IV and GMM...