On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
Computes a least squares dummy variable (i.e. fixed effects) estimator for a dynamic panel data model with correction for bias. Reference: Kiviet(1995), "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, vol. 68, no. 1, 53-78.
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- Alok Bhargava & J. D. Sargan, 2006.
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World Scientific Book Chapters,
in: Econometrics, Statistics And Computational Approaches In Food And Health Sciences, chapter 1, pages 3-27
World Scientific Publishing Co. Pte. Ltd..
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- Tom Doan, "undated". "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Oxford University Press, vol. 53(2), pages 241-261.
- Beggs, John J. & Nerlove, Marc, 1988. "Biases in dynamic models with fixed effects," Economics Letters, Elsevier, vol. 26(1), pages 29-31.
- Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January. Full references (including those not matched with items on IDEAS)
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