This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in …) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data …

Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It … can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature …: many studies focus solely on measuring accuracy. Methods for assessing bias in single series are relatively well known and …

BEKK. The results of non-parametric tests suggest evidence of considerable bias in the Full BEKK estimates. The results of …

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and … construct a number of bias corrected OLS and IV estimators, which we show to be consistent under a sequential asymptotic scheme …. These bias-corrected estimators are also robust, in the sense that they remain consistent in a conventional asymptotic setup …

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 …