A note on bias-corrected estimation in dynamic panel data models
In this note we extend the method proposed in Bun and Carree (2006) to the more general PVARX(1) model and show that the iterative procedure is not consistent for fixed T. Subsequently we provide corrected version of the bias correction procedure which is fixed T consistent and robust to both cross-sectional and time-series heteroscedasticity.
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- Bun, Maurice J.G. & Carree, Martin A., 2005.
"Bias-Corrected Estimation in Dynamic Panel Data Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 23, pages 200-210, April.
- Bun M.J.G. & Carree M.A., 2002. "Bias-corrected estimation in dynamic panel data models," Research Memorandum 025, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Bun, Maurice J.G. & Carree, Martin A., 2006. "Bias-corrected estimation in dynamic panel data models with heteroscedasticity," Economics Letters, Elsevier, vol. 92(2), pages 220-227, August.
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- Tom Doan, "undated". "LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias," Statistical Software Components RTS00111, Boston College Department of Economics.