Phillips and Hansen (1990) that use a spectral [non-parametric] estimation of the residual asymptotic covariance matrix to … introduce new, compact notations for the fixed-b limits of spectral covariance estimators. This permits us to construct T …-consistent semi-parametric estimators: a simple estimator that estimates and subtracts the OLS bias, and a pseudo-exogenised estimator …

-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 …

are large. We show that the Anderson and Hsiao (1981, 1982) simple instrumental variable estimator (IV) or maximizing the … likelihood function with initial value distribution properly treated (quasi-maximum likelihood estimator) is asymptotically … asymptotically biased of order √(N/T). We also explore the source of the bias of the Arellano and Bond (1991) type GMM estimator. We …

We study the estimation of the lag parameter of linear dynamic panel data models with first order dynamics based on the … asymptotics and mitigates the non-standard distributions found in the literature. Second, we consider an IV estimator based on the … asymptotics hold for the estimator when the cross section dimension is large and the time series dimension is finite. We also …

The system GMM estimator developed by Blundell and Bond (1998) for dynamic panel data models has been widely used in … estimator, based on a simple transformation of the dependent variable. Simulation results indicate that, infinite samples, this … transformed system GMM estimator greatly outperforms its conventional counterpart in estimating the coefficient of the lagged …