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

Access to Document

10.1016/j.econlet.2006.02.008

Cite this

@article{76bd588e121042e486cb8ef613645343,

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.",

author = "M.A. Carree and M. Bun",

year = "2006",

month = jan,

day = "1",

doi = "10.1016/j.econlet.2006.02.008",

language = "English",

volume = "92",

pages = "220--227",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Bias-corrected Estimation in Dynamic Panel Data Models with Heterokedasticity

AU - Carree, M.A.

AU - Bun, M.

PY - 2006/1/1

Y1 - 2006/1/1

N2 - 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.

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.

U2 - 10.1016/j.econlet.2006.02.008

DO - 10.1016/j.econlet.2006.02.008

M3 - Article

SN - 0165-1765

VL - 92

SP - 220

EP - 227

JO - Economics Letters

JF - Economics Letters

ER -

Bias-corrected Estimation in Dynamic Panel Data Models with Heterokedasticity

Abstract

Access to Document

Fingerprint

Cite this