Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the cross section sample size N … sectionally dependent. The asymptotic bias is found to be so large when incidental linear trends are fitted and the time series … there is cross section error dependence, the probability limit of the dynamic panel regression estimator is a random …

Fixed effects estimation of nonlinear dynamic panel models is subject to the incidental parameter issue, leading to a … allowing for both serial and cross-sectional dependence is missing. In this paper we investigate the large-N,T theory of the … dependence types the asymptotic bias disappears, but a O_p(1/T) small-sample bias remains. We provide bias correction and …