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Reducing Bias of MLE in a Dynamic Panel Model

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Listed author(s):
  • Jinyong Hahn
  • Hyungsik Roger Moon

Abstract

This paper investigates a simple dynamic linear panel regression model with both fixed effects and time effects. Using "large n and large T " asymptotics, we approximate the distribution of the fixed effect estimator of the autoregressive parameter in the dynamic linear panel model and derive its asymptotic bias. We find that the same higher order bias correction approach proposed by Hahn and Kuersteiner (2002) can be applied to the dynamic linear panel model even when time specifc effects are present.

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Paper provided by Institute of Economic Policy Research (IEPR) in its series IEPR Working Papers with number 04.5.

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Length: 13 pages
Date of creation: Dec 2004
Handle: RePEc:scp:wpaper:04-5
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Web page: http://www.usc.edu/dept/LAS/economics/IEPR/

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Cited by:

  1. Moon, Hyungsik Roger & Weidner, Martin, 2017. "Dynamic Linear Panel Regression Models With Interactive Fixed Effects," Econometric Theory, Cambridge University Press, vol. 33(01), pages 158-195, February.
  2. Chudik, Alexander & Pesaran, M. Hashem, 2015. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Journal of Econometrics, Elsevier, vol. 188(2), pages 393-420.
  3. Dhaene, Geert & Jochmans, Koen, 2016. "Bias-corrected estimation of panel vector autoregressions," Economics Letters, Elsevier, vol. 145(C), pages 98-103.
  4. Fernández-Val, Iván & Weidner, Martin, 2016. "Individual and time effects in nonlinear panel models with large N, T," Journal of Econometrics, Elsevier, vol. 192(1), pages 291-312.
  5. repec:esx:essedp:684 is not listed on IDEAS
  6. Badi H. Baltagi, 2013. "Dynamic panel data models," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 10, pages 229-248 Edward Elgar Publishing.
  7. Chudik, Alexander & Pesaran, M. Hashem & Yang, Jui-Chung, 2016. "Half-panel jackknife fixed effects estimation of panels with weakly exogenous regressor," Globalization and Monetary Policy Institute Working Paper 281, Federal Reserve Bank of Dallas.
  8. Chambers, Marcus J., 2013. "Jackknife estimation of stationary autoregressive models," Journal of Econometrics, Elsevier, vol. 172(1), pages 142-157.
  9. Lee, Lung-fei & Yu, Jihai, 2010. "Estimation of spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 154(2), pages 165-185, February.
  10. Haruo Iwakura & Ryo Okui, 2014. "Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models," KIER Working Papers 887, Kyoto University, Institute of Economic Research.
  11. Yang, Zhenlin & Yu, Jihai & Liu, Shew Fan, 2016. "Bias correction and refined inferences for fixed effects spatial panel data models," Regional Science and Urban Economics, Elsevier, vol. 61(C), pages 52-72.
  12. Okui, Ryo, 2011. "Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends," Economics Letters, Elsevier, vol. 112(1), pages 49-52, July.

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