level data, we document that as the number of cross sections used in the panel data increases the bias in coefficient …There exists a small sample bias in predictive regressions, when a rate of return is regressed on a lagged stochastic … regressor, and the regression disturbance is correlated with the regressors' innovations. Although this bias can be a serious …

In this paper, we show that the order of magnitude of the finite sample bias of the GMMld^{(2)} estimator of Bun and …

The finite sample behaviour is analysed of particular least squares (LS) and method of moments (MM) estimators in panel … magnitude of bias of (generalized) MM estimators tends to increase with the number of moment conditions exploited. For various … feedbacks none of the techniques examined dominates. However, a simple bias corrected LS estimator which presupposes strict …

Since little is known about the degree of bias in estimated fixed effects in panel data models, we run Monte Carlo … simulations on a range of different estimators. We find that Anderson-Hsiao IV, Kiviet's bias-corrected LSDV and GMM estimators …