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Article: Bias-corrected estimation in dynamic panel data models.
- Article from:
- Journal of Business & Economic Statistics
- Article date:
- April 1, 2005
- Author:
CopyrightCOPYRIGHT 2005 American Statistical Association. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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This study develops a new bias-corrected estimator for the fixed-effects dynamic panel data model and derives its limiting distribution for finite number of time periods. T, and large number of cross-section units, N. The bias-corrected estimator is derived as a bias correction of the least squares dummy variable (within) estimator. It does not share some of the drawbacks of recently developed instrumental variables and generalized method-of-moments estimators and is relatively easy to compute. Monte Carlo experiments provide evidence that the bias-corrected estimator performs well even in small samples. The proposed technique is applied in an empirical analysis of ...