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 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 …

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) 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 …

estimating linear dynamic panel data models and derive the large sample properties of the estimator. We assume that the only …

cross-sectional spatial autoregressive model to the random effects spatial autoregressive panel data model. It also suggests … an extension of the Baltagi (1981) error component 2SLS estimator to this spatial panel model …

We propose a novel estimator for the dynamic panel model, which solves the failure of strict exogeneity by calculating … the bias in the first-order conditions as a function of the autoregressive parameter and solving the resulting equation … for including predetermined variables in fixed-effects panel regressions that appears to perform well. …

We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed … effects, where the lag order is possibly misspecified. Even when disregarding the misspecification bias, the fixed-effect bias … stationarity. We suggest bias reduction methods under the possible time series misspecification …