Approximating the bias of the LSDV estimator for dynamic unbalanced panel data models
AbstractThis paper extends the LSDV bias approximations in Bun and Kiviet (2003) to unbalanced panels. The approximations are obtained by modify-ing the within operator to accommodate the dynamic selection rule. They are accurate, with higher order terms bringing only decreasing improve-ments to the approximations. This removes an important cause for limited applicability of bias corrected LSDV estimators.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 87 (2005)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Giovanni S.F. Bruno, 2004. "Approximating the Bias of the LSDV Estimator for Dynamic Unbalanced Panel Data Models," KITeS Working Papers 159, KITeS, Centre for Knowledge, Internationalization and Technology Studies, Universita' Bocconi, Milano, Italy, revised Jul 2004.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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- Bun, Maurice J. G. & Kiviet, Jan F., 2003.
"On the diminishing returns of higher-order terms in asymptotic expansions of bias,"
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- Maurice J.G. Bun & Jan F. Kiviet, 2002. "On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias," Tinbergen Institute Discussion Papers 02-099/4, Tinbergen Institute, revised 24 Oct 2002.
- Kiviet, Jan F., 1995.
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- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
- Jeffrey M. Wooldridge, 2001.
"Econometric Analysis of Cross Section and Panel Data,"
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- Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, December.
- Kiviet, Jan F, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Wiley Blackwell, vol. 53(2), pages 241-61, April.
- Kajal Lahiri, 2005. "Analysis of Panel Data," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 1093-1095.
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