This note shows that two ways of simulation based bias correction–indirect inference and bootstrap bias correction–are equivalent for two-stage-least-squares, as well as k-class estimators for the standard linear model with endogenous regressors.

This note derives the correct limit distributions of the Anderson–Hsiao (1981) levels and differences instrumental variable estimators, provides comparisons showing that the levels IV estimator has uniformly smaller variance asymptotically as the cross section (n) and time series (T) sample...

In the context of a single equation in a system of simultaneous equations there is evidently some confusion in the literature as to the correct approach to the problem of prediction. Here we explore this problem and compare three different approaches to it. We also relate this discussion to...

We examine whether subjective information routinely collected in general surveys can be used to construct a single measure of underlying match quality which helps test matching models and predict labour market outcomes of workers.

Using a panel of international student test scores 1980–2000 (PISA and TIMSS), panel fixed effects estimates suggest that government spending decentralization is conducive to student performance. The effect does not appear to be mediated through levels of educational spending.

We propose a HAC estimator for the covariance matrix of the fixed effects estimator in a panel data model with unobserved fixed effects and errors that are both serially and spatially correlated.

Using a simple cointegrated vector autoregression (VAR) I find strong evidence for a liquidity effect at policy relevant time horizons with a broad monetary aggregate. The liquidity effect is present for both nominal and real interest rates.

Ng (2008) shows how the cross-sectional variance of the observed panel data can be used to construct a simple test for the proportion of non-stationary units. However, in the case with incidental trends the test is distorted. The present note shows how the distortions can be substantially...

This paper theoretically explains why bias correction appears in two statistics recently developed by Baltagi et al. (2011, 2012), which are designed to test the sphericity and cross-sectional dependence of the errors in the fixed effects panel model respectively. Our explanation shows that the...

In this note we extend the method proposed in Bun and Carree (2006) to the more general PVARX(1) model and show that the iterative procedure is not consistent for fixed T. Subsequently we provide corrected version of the bias correction procedure which is fixed T consistent and robust to both...