It is well-known that maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with .xed eects is inconsistent under .xed time series sample size (T) and large cross section sample size (N) asymptotics. The estimation bias is particularly relevant in...

Maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size and large cross section sample size asymptotics. This paper proposes a general, computationally inexpensive method of bias...