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Nearly Unbiased Estimationin Dynamic Panel Data Models

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  • Martin A. Carree

    ()
    (Erasmus University Rotterdam, Maastricht University)

Abstract

This paper introduces two easy to calculate estimators with desirable properties for theautoregressive parameter in dynamic panel data models. The estimators are (nearly) unbiased andperform satisfactorily even for small samples in either the time-series or cross-section dimension.

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File URL: http://papers.tinbergen.nl/02008.pdf
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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 02-008/2.

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Date of creation: 06 Feb 2002
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Handle: RePEc:dgr:uvatin:20020008

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Web page: http://www.tinbergen.nl

Related research

Keywords: dynamic panel data; Nickell bias; bias-correction;

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References

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  1. Mackinnon, J.G. & Smith, A.A., 1996. "Approximate Bias Correction in Econometrics," G.R.E.Q.A.M. 96a14, Universite Aix-Marseille III.
  2. Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
  3. Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, vol. 61(1), pages 139-65, January.
  4. Kitazawa, Yoshitsugu, 2001. "Exponential regression of dynamic panel data models," Economics Letters, Elsevier, vol. 73(1), pages 7-13, October.
  5. Dolores Collado, M., 1997. "Estimating dynamic models from time series of independent cross-sections," Journal of Econometrics, Elsevier, vol. 82(1), pages 37-62.
  6. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
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Cited by:
  1. Mehari Mekonnen Akalu, 2002. "Measuring and Ranking Value Drivers," Tinbergen Institute Discussion Papers 02-043/2, Tinbergen Institute.

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