-generation process, the least-squares estimators have smaller bias (in fact zero bias) but larger variances in the long regression than … in the short regression. But if the long regression is also misspecified, the bias may not be smaller. We provide bias …

Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV … proper modelling of thedisturbance covariance structure is indispensable. The biasapproximations are used to construct bias … plausible long-run effects are obtained by the biascorrected estimators. Moreover, bias correction can be substantialunderlining …