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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- Maddala, G S, 1971. "The Use of Variance Components Models in Pooling Cross Section and Time Series Data," Econometrica, Econometric Society, vol. 39(2), pages 341-58, March.
- 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.
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Econometric Society, vol. 39(2), pages 359-82, March.
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- Baltagi, Badi H & Raj, Baldev, 1992. "A Survey of Recent Theoretical Developments in the Econometrics of Panel Data," Empirical Economics, Springer, vol. 17(1), pages 85-109.
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Econometric Society, vol. 56(6), pages 1371-95, November.
- Tom Doan, . "RATS program to demonstrate IV estimation of VAR in panel data," Statistical Software Components RTZ00185, Boston College Department of Economics.
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- repec:adr:anecst:y:1991:i:20-21:p:05 is not listed on IDEAS
- Kiviet, Jan F. & Phillips, Garry D. A., 1994. "Bias assessment and reduction in linear error-correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 215-243, July.
- Sevestre, P. & Trognon, A., 1985. "A note on autoregressive error components models," Journal of Econometrics, Elsevier, vol. 28(2), pages 231-245, May.
- Arellano, Manuel, 1989.
"A note on the Anderson-Hsiao estimator for panel data,"
Elsevier, vol. 31(4), pages 337-341, December.
- Arellano, M., 1989. "A Note On The Anderson-Hsiao Estimator For Panel Data," Economics Series Working Papers 9975, University of Oxford, Department of Economics.
- Bhargava, Alok & Sargan, J D, 1983. "Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods," Econometrica, Econometric Society, vol. 51(6), pages 1635-59, November.
- Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, vol. 9(01), pages 62-80, January.
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