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Analytical bias correction for two-step fixed effects models with copula-distributed errors

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  • Naguib, Costanza

Abstract

We derive an analytical bias correction for two-step fixed effects models with copula-distributed errors. We work out the approximate bias correction for the Gaussian copula and present a numerical computation exercise for three other copula families. The results are derived for both n and T large.

Suggested Citation

  • Naguib, Costanza, 2022. "Analytical bias correction for two-step fixed effects models with copula-distributed errors," Economics Letters, Elsevier, vol. 215(C).
    • Handle: RePEc:eee:ecolet:v:215:y:2022:i:c:s0165176522001264
    DOI: 10.1016/j.econlet.2022.110498
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    1. repec:hal:spmain:info:hdl:2441/eu4vqp9ompqllr09j008g6g0g is not listed on IDEAS
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    More about this item

    Keywords

    Two-step fixed effects; Analytical bias correction; Relative mobility;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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