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Estimating dynamic panel models : backing out the Nickell bias

Hausman, Jerry A.; Pinkovskiy, Maxim L. - 2017

We propose a novel estimator for the dynamic panel model, which solves the failure of strict exogeneity by calculating …. We show that this estimator performs well as compared with approaches in current use. We also propose a general method …

Persistent link: https://www.econbiz.de/10011742410

The smooth colonel and the reverend find common ground

Kiefer, Nicholas M.; Racine, Jeffrey - In: Econometric reviews 36 (2017) 1/3, pp. 241-256

Persistent link: https://www.econbiz.de/10011795197

Using and interpreting fixed effects models

Breuer, Matthias; DeHaan, Ed - In: Journal of accounting research 62 (2024) 4, pp. 1183-1226

Persistent link: https://www.econbiz.de/10015123484

Panel VAR models with spatial dependence

Mutl, Jan - 2009

Persistent link: https://www.econbiz.de/10003835608

Panel VAR models with spatial dependence

Mutl, Jan - 2009

I consider a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a spatial autoregressive process. I propose a three-step estimation procedure. Its first step is an instrumental variable estimation that ignores the spatial correlation. In the...

Persistent link: https://www.econbiz.de/10009734675