We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed … effects, where the lag order is possibly misspecified. Even when disregarding the misspecification bias, the fixed-effect bias … stationarity. We suggest bias reduction methods under the possible time series misspecification …

offer a general apparatus for estimating parameters of panel-data specifications, though one must introduce a series of … Panel Study of Income Dynamics. …

-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T … FEF has smaller bias and RMSE, unless an intercept is included in the second stage of the FEVD procedure which renders the …

asymptotic bias in its asymptotic distribution. When T/N tends to a positive constant, the WG, GMM and LIML estimators exhibit …

Poisson (FEP) estimator for panel data models with multiplicative heterogeneity in the conditional mean. In particular, we … shows that the overidentfied GMM estimator behaves well in terms of bias and it often delivers nontrivial efficiency gains …

dynamic panel modeling. We suggest a general form for bias correction, which specifically incorporates the lag order selection …This paper considers higher-order autoregressive (AR(p)) panel models with fixed effects, where the lag order p is …. Specifically, we first extend the N-asymptotic bias formula in Nickell (1981) to the case where the dynamics follow a general …

bias of the robust standard error estimator. This approach contrasts with the conventional bandwidth choice rule for … squared asymptotic bias. It turns out that the optimal bandwidth for interval estimation has a different expansion rate and is …