A bias-corrected least squares estimator of dynamic panel models

zbMATH Open1053.62129MaRDI QIDQ1879231FDOQ1879231

Authors: Gerd Hansen 

Publication date: 22 September 2004

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

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Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cited In (22)

• Bias-corrected estimation in dynamic panel data models with heteroscedasticity
• Alternative fixed-effects panel model using weighted asymmetric least squares regression
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• Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix
• Small sample bias properties of the system GMM estimator in dynamic panel data models
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
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• On the bias of the OLS estimator in a nonstationary dynamic panel data model
• Bias correction for within-group estimation of panel data models with fixed effects and sample selection
• Bias-corrected estimation of panel vector autoregressions
• Do the most frequently used dynamic panel data estimators have the best performance in a small sample? A Monte Carlo comparison
• The ability to correct the bias in the stable AD(1,1) model with a feedback effect
• Biases in dynamic models with fixed effects
• On the diminishing returns of higher-order terms in asymptotic expansions of bias
• Estimating dynamic panel data models: A guide for macroeconomists
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• Approximating the bias of the LSDV estimator for dynamic unbalanced panel data models
• Half-panel jackknife estimation for dynamic panel models
• A note on bias-corrected estimation in dynamic panel data models
• A panel data approach to economic forecasting: the bias-corrected average forecast
• Bootstrap-based bias correction for dynamic panels
• Estimation and Inference of a Cointegrated Regression in Panel Data: A Monte Carlo Study

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