REDUCING BIAS OF MLE IN A DYNAMIC PANEL MODEL

Jinyong Hahn · Hyungsik Roger Moon

73 citations0/0 files storedEconometric Theory

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Spatial and Panel Data Analysis Statistical Methods and Bayesian Inference Statistical Methods and Inference

Abstract

This paper investigates a simple dynamic linear panel regression model with both fixed effects and time effects. Using large n and large T asymptotics, we approximate the distribution of the fixed effect estimator of the autoregressive parameter in the dynamic linear panel model and derive its asymptotic bias. We find that the same higher order bias correction approach proposed by Hahn and Kuersteiner (2002) can be applied to the dynamic linear panel model even when time specifc effects are present.

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References

1981Biases in Dynamic Models with Fixed Effects 2003Analysis of Panel Data 1988Estimating Vector Autoregressions with Panel Data 1995On bias, inconsistency, and efficiency of various estimators in dynamic panel data models 2004A PANIC Attack on Unit Roots and Cointegration 1999Linear Regression Limit Theory for Nonstationary Panel Data 2002Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence 2000The incidental parameter problem since 1948

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2013Common Correlated Effects Estimation of Heterogenous Dynamic Panel Data Models with Weakly Exogenous Regressors 2018Half‐panel jackknife fixed‐effects estimation of linear panels with weakly exogenous regressors 2015The Structure of Export Entry Costs 2020Bias and Consistency in Three-way Gravity Models

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