-individual estimators in short panels, we develop bias corrections. These corrections are based on higher-order asymptotic expansions of the … estimators have asymptotic biases of the same order as their asymptotic standard deviations. The bias corrections remove the bias …

estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped … broadly into the class of instrumental estimators and the class of direct bias corrected estimators. The simulation results … clearly favour the direct bias corrected estimators, especially the estimator proposed by Hansen (2001). The superiority of …