Bias-corrected Estimation in Dynamic Panel data Models with Heteroscedasticity

Authors
Publication date 2006
Journal Economics Letters
Volume | Issue number 92 | 2
Pages (from-to) 220-227
Number of pages 8
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Abstract This study extends earlier results on bias-corrected estimators for the fixed-effects dynamic panel data model. We derive the inconsistency of the LSDV estimator for finite T and N large in case of both time-series and cross-section heteroscedasticity and show how to implement it in bias correction procedures.

Keywords: Bias correction; Dynamic panel data model; Heteroscedasticity; Least squares dummy variable estimator

JEL classification codes: C13; C23

Document type Article
Published at https://doi.org/10.1016/j.econlet.2006.02.008
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