dynamic panel modeling. We suggest a general form for bias correction, which specifically incorporates the lag order selection …This paper considers higher-order autoregressive (AR(p)) panel models with fixed effects, where the lag order p is …. Specifically, we first extend the N-asymptotic bias formula in Nickell (1981) to the case where the dynamics follow a general …

We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed … effects, where the lag order is possibly misspecified. Even when disregarding the misspecification bias, the fixed-effect bias … stationarity. We suggest bias reduction methods under the possible time series misspecification …

Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel … data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a … common time period for all units. However, this approach can be costly in terms of lost information. Instead, existing panel …