and bias formulae are obtained for estimates of the mean reversion parameter. Explicit expressions are given for the … discretization bias and its relationship to estimation bias in both multivariate and in univariate settings. In the univariate … bias and variance for the Vasicek process. The bias and the variance of the Euler method are found to be smaller than the …

Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the cross section sample size N … errors that may be cross sectionally dependent. The asymptotic bias is found to be so large when incidental linear trends are … estimates when there is cross section dependence even in situations where N is very large. Some proposals for bias correction …

unity with panel data. The two moment conditions studied are obtained by constructing bias corrections to the score …

This paper deals with cross section dependence, homogeneity restrictions and small sample bias issues in dynamic panel … regressions. To address the bias problem we develop a panel approach to median unbiased estimation that takes account of cross … section dependence. The new estimators given here considerably reduce the effects of bias and gain precision from estimating …

constructing bias corrections to the score functions under OLS and GLS detrending, respectively. It is shown that the moment …

applications, small sample bias in the estimation of autoregressive coefficients is transmitted to the recoloring filter, leading … the effects of small sample autoregressive bias. Moreover, a commonly-used restriction rule on the prewhitening estimates …

bias of the robust standard error estimator. This approach contrasts with the conventional bandwidth choice rule for … squared asymptotic bias. It turns out that the optimal bandwidth for interval estimation has a different expansion rate and is …