Bias-corrected Estimation in Dynamic Panel Data Models with Heterokedasticity

M.A. Carree; M. Bun

doi:10.1016/j.econlet.2006.02.008

Bias-corrected Estimation in Dynamic Panel Data Models with Heterokedasticity

M.A. Carree, M. Bun^*

^*Corresponding author for this work

Organisation,Strategy & Entrepreneurship

Research output: Contribution to journal › Article › Academic › peer-review

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.

Original language	English
Pages (from-to)	220-227
Journal	Economics Letters
Volume	92
DOIs	https://doi.org/10.1016/j.econlet.2006.02.008
Publication status	Published - 1 Jan 2006

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10.1016/j.econlet.2006.02.008

Cite this

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title = "Bias-corrected Estimation in Dynamic Panel Data Models with Heterokedasticity",

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.",

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AB - 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.

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JO - Economics Letters

JF - Economics Letters

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