Showing 1 - 10 of 44
Persistent link: https://www.econbiz.de/10001603054
Persistent link: https://www.econbiz.de/10003569911
This paper analyzes the second order bias of instrumental variables estimators for a dynamic panel model with fixed effects. Three different methods of second order bias correction are considered. Simulation experiments show that these methods perform well if the model does not have a root near...
Persistent link: https://www.econbiz.de/10014127900
Persistent link: https://www.econbiz.de/10001602005
Persistent link: https://www.econbiz.de/10001688100
Persistent link: https://www.econbiz.de/10002095887
Persistent link: https://www.econbiz.de/10009489716
We consider a dynamic panel AR(1) model with fixed effects when both "n" and "T" are large. Under the "T fixed n large" asymptotic approximation, the maximum likelihood estimator is known to be inconsistent due to the well-known incidental parameter problem. We consider an alternative asymptotic...
Persistent link: https://www.econbiz.de/10014130188
Bias correction can often improve the finite sample performance of estimators. We show that the choice of bias correction method has no effect on the higherorder variance of semiparametrically efficient parametric estimators, so long as the estimate of the bias is asymptotically linear. It is...
Persistent link: https://www.econbiz.de/10015053878
Persistent link: https://www.econbiz.de/10003774649