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On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias

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Author Info
Maurice J.G. Bun () (Faculty of Economics and Econometrics, University of Amsterdam)
Jan F. Kiviet () (Faculty of Economics and Econometrics, University of Amsterdam)

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Abstract

The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the major part of the actual bias in small samples. This implies that bias correction procedures can be based on relatively simple bias approximation formulas.

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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 02-099/4.

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Date of creation: 07 Oct 2002
Date of revision: 24 Oct 2002
Handle: RePEc:dgr:uvatin:20020099

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Related research
Keywords: Mymptotic expansion biM approximation dynamic panel data model finite sample biM LSDV estimator

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

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  1. Giovanni S.F. Bruno, 2004. "Approximating the Bias of the LSDV Estimator for Dynamic Unbalanced Panel Data Models," CESPRI Working Papers 159, CESPRI, Centre for Research on Innovation and Internationalisation, Universita' Bocconi, Milano, Italy, revised Jul 2004. [Downloadable!]
    Other versions:
  2. Yongfu Huang, 2005. "Will political liberalisation bring about financial development?," Bristol Economics Discussion Papers 05/578, Department of Economics, University of Bristol, UK. [Downloadable!]
  3. Jan F. Kiviet, 2005. "Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models," Tinbergen Institute Discussion Papers 05-112/4, Tinbergen Institute. [Downloadable!]
  4. Ramón Adalid & Carsten Detken, 2007. "Liquidity shocks and asset price boom/bust cycles," Working Paper Series 732, European Central Bank. [Downloadable!]
  5. Klinger, Sabine & Wolf, Katja, 2008. "What explains changes in full-time and part-time employment in Western Germany? : a new method on an old question," IAB Discussion Paper 200807, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]. [Downloadable!]
  6. Mariacristina Piva & Marco Vivarelli, 2006. "Is Demand-Pulled Innovation Equally Important in Different Groups of Firms?," IZA Discussion Papers 1982, Institute for the Study of Labor (IZA). [Downloadable!]
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  7. Pornpinun Chantapacdepong, 2007. "Determinants of the time varying risk premia," Bristol Economics Discussion Papers 07/597, Department of Economics, University of Bristol, UK. [Downloadable!]
  8. Giovanni S.F. Bruno, 2004. "Approximating the bias of the LSDV estimator for dynamic panel data models," United Kingdom Stata Users' Group Meetings 2004 2, Stata Users Group. [Downloadable!]
  9. Isabel Cortes-Jimenez, 2006. "Tourism and Economic Growth At Regional Level: the Cases of Spain and Italy," ERSA conference papers ersa06p61, European Regional Science Association. [Downloadable!]
  10. Badri Narayanan G, 2005. "Effects of trade liberalisation, environmental and labour regulations on employment in India's organised textile sector," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2005-005, Indira Gandhi Institute of Development Research, Mumbai, India. [Downloadable!]
  11. Maurice J.G. Bun & Jan F. Kiviet, 2002. "The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models," Tinbergen Institute Discussion Papers 02-101/4, Tinbergen Institute, revised 19 Feb 2004. [Downloadable!]
    Other versions:
  12. Giovanni S.F. Bruno, 2005. "Estimation and inference in dynamic unbalanced panel data models with a small number of individuals," CESPRI Working Papers 165, CESPRI, Centre for Research on Innovation and Internationalisation, Universita' Bocconi, Milano, Italy, revised Jun 2005. [Downloadable!]
    Other versions:
  13. Giovanni S.F. Bruno & Anna M. Falzoni & Rodolfo Helg, 2004. "Measuring the effect of globalization on labour demand elasticity: An empirical application to OECD countries," CESPRI Working Papers 153, CESPRI, Centre for Research on Innovation and Internationalisation, Universita' Bocconi, Milano, Italy, revised Feb 2004. [Downloadable!]
  14. Marie-Estelle Binet & Jean-Sébastien Pentecôte, 2004. "Tax degression and the political budget cycle in French municipalities," Applied Economics Letters, Taylor and Francis Journals, vol. 11(14), pages 905-908, November. [Downloadable!] (restricted)
  15. Pock, Markus, 2007. "Gasoline and Diesel Demand in Europe: New Insights," Economics Series 202, Institute for Advanced Studies. [Downloadable!]
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