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 …

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 …

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 …

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 …

Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the cross section sample size N … sectionally dependent. The asymptotic bias is found to be so large when incidental linear trends are fitted and the time series …