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 …

In the presence of selection bias, traditional estimators of pseudo panel data are inconsistent. In this paper, the … authors derive the conditions under which consistence is achieved in pseudo-panel estimation and propose a simple test of … selection bias. Specifically, they propose a Wald test for the null hypothesis that there is no selection bias. Under rejection …

. This problem can be fixed with panel data by estimating a different coefficient for each individual, and then using the …, however, can be severily biased in short panels due to the incidental parameters problem. The bias arises if some of the … individual effects. This paper introduces a class of bias-corrected fixed effects estimators for these correlated random …

This paper proposes new GMM estimators for the panel AR(1) model when the ratio of the variance of the individual …

The maximum likelihood estimator for the regression coefficients, β, in a panel binary response model with fixed …) bias in β^. We add to this literature in two important ways. First, we focus on estimation of the fixed effects proper, as … these have become increasingly important in applied work.Second, we build on a bias-reduction approach originally developed …

The maximum likelihood estimator for the regression coefficients, β, in a panel binary response model with fixed …) bias in βˆ. We add to this literature in two important ways. First, we focus on estimation of the fixed effects proper, as … these have become increasingly important in applied work. Second, we build on a bias-reduction approach originally developed …

Dynamic panel models play an increasingly important role in numerous areas of corporate finance research, and a variety … propose a bias-corrected global minimum variance (GMV) combined estimation procedure to mitigate this estimation problem. We … actual empirical corporate finance data. The GMV estimator non-trivially reduces bias and hence meaningfully increases the …

This paper studies the behaviour of the bias corrected LSDV estimator and GMM-based estimators in dynamic panel data … models with endogenous regressors. We obtain an expansion of the conditional bias of the LSDV estimator with the leading term … although the bias has similar structure whether or not the exogeneity assumption holds, the approximation technique that the …