This paper analyzes the second order bias of instrumental variables estimators for a dynamic panel model with fixed effects. Three different methods of second order bias correction are considered. Simulation experiments show that these methods perform well if the model does not have a root near...

Bias correction can often improve the finite sample performance of estimators. We show that the choice of bias correction method has no effect on the higherorder variance of semiparametrically efficient parametric estimators, so long as the estimate of the bias is asymptotically linear. It is...