Bias-corrected estimation in dynamic panel data models with heteroscedasticity
From MaRDI portal
Publication:1929404
DOI10.1016/j.econlet.2006.02.008zbMath1255.62340OpenAlexW2086556222MaRDI QIDQ1929404
Maurice J. G. Bun, Martin A. Carree
Publication date: 8 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2006.02.008
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
Related Items (7)
Unit root tests for panel data with AR(1) errors and small T ⋮ Dynamic firm performance and estimator choice: a comparison of dynamic panel data estimators ⋮ Asymptotic inferences in a doubly-semi-parametric linear longitudinal mixed model ⋮ Identification of parametric models with a priori knowledge of process properties ⋮ Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors ⋮ Two-step spline estimating equations for generalized additive partially linear models with large cluster sizes ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels†
Cites Work
- Initial conditions and moment restrictions in dynamic panel data models
- Another look at the instrumental variable estimation of error-components models
- Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
- A bias-corrected least squares estimator of dynamic panel models
- On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
- On the diminishing returns of higher-order terms in asymptotic expansions of bias
- Biases in Dynamic Models with Fixed Effects
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
This page was built for publication: Bias-corrected estimation in dynamic panel data models with heteroscedasticity