unity with panel data. The two moment conditions studied are obtained by constructing bias corrections to the score …

effects are included in the specification, a second order bias in the fixed effects estimator arises from the endogeneity and …

Monte Carlo simulations. We show that differences in bias as well as root mean squared error between spatial GMM estimates …

constructing bias corrections to the score functions under OLS and GLS detrending, respectively. It is shown that the moment …

composite cross section and time series sample sizes pass to infinity. Simulations reveal that the estimator has little bias …

observations affect the bias correction which is usually involved. This paper contributes to the literature in two ways; it extends …

heterogenous local-to-unity parameters. The pooled estimator is shown to have a potentially severe bias and a robust median based … procedure is proposed instead. This median estimator has a small asymptotic bias that can be eliminated almost completely by a … bias correction procedure. The asymptotic normality of the estimator is proved. The methods proposed in the paper provide a …