Bias correction, explosive behavior, non-linearity, model selection, persistence, specification testing. - Bias …

make no difference. However, the small sample properties can differ. We explore small sample power and estimation bias both …) in the auxiliary model. We find that both power and bias are similar when the number of variables used is the same …. Raising the number of variables lowers the bias but may also raise the power unacceptably because it lowers the chances of …

the bias is larger for a more persistent factor. In such a case, bootstrap procedures are effective in reducing the bias …