We give an expression to order O(T-1), where T is the sample size, for bias to the estimated coefficient on a lagged dependent variable when all other regressors are exogenous. The general expression is a nonlinear function of the coefficient on the lagged dependent variable, the autoregressive structure of the exogenous variables, and the coefficients on the exogenous variables. The maximum bias that can arise is a linear function of the number of exogenous regressors in the estimating equation.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 3 (1987) Issue (Month): 03 (June) Pages: 371-386 Download reference. The following formats are available: HTML
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