and implement suitable bias corrections. Extensive simulation experiments confirm the desirable statistical properties of … the bias-corrected estimators. Empirically, taking two sources of persistence - true state dependence and unobserved … heterogeneity - into account using a dynamic specification, along with appropriate fixed effects and bias corrections, changes the …

This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and … known to affect conventional GMM estimation when the autoregressive coefficient (rho) is near unity. In both panel and time … composite cross section and time series sample sizes pass to infinity. Simulations reveal that the estimator has little bias …

This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random …-individual estimators in short panels, we develop bias corrections. These corrections are based on higher-order asymptotic expansions of the … where the cross sectional and time series dimensions of the panel pass to infinity at the same rate, the uncorrected …

The GMM estimator that is usually employed in the panel data literature, has an unbounded influence function. This … illustration is provided, in which the determinants of a firm's capital structure are investigated using a panel of American firms …

The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel … of bias of (generalized) MMestimators tends to increase with the number of moment conditions exploited. Forvarious … feedbacks none of the techniques examined dominates. However, asimple bias corrected LS estimator which presupposes strict …

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 …

problems even the generalized least squares estimator for the dynamic panel data models allowing cross sectional … the first order autoregressive case. A comparison between asymptotic bias and small sample simulated bias has also been …

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 …

Panel data models with cross-sectionally heteroskedastic data often suffer from the well-known incidental parameters … Pesaran (2015, Journal of Econometrics) can consistently estimate the structural parameters in the panel data models with … unknown common factors or dynamic panel models with fixed individual entity-specific effects …

panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a …