By using asymptotic expansion techniques we obtain theoretical information on the location in finite samples of least-squares and instrumental variables estimators in dynamic panel data models. We consider the case where the model includes - next to the lagged dependent regressor variable - an exogenous explanatory variable which is correlated with a time-invariant individual effect and possibly also with lags of the white-noise disturbances. The findings suggest particular corrected estimation techniques and lead to some recommendations for practitioners.
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