Title: Bias Correction in Dynamic Panels under Time Series Misspecification
Abstract: This paper considers higher-order autoregressive (AR(p)) panel models with fixed effects, where the lag order p is unknown and possibly misspecified. A pooled least squares estimator is considered and its asymptotic biases are studied. Specifically, we first extend the N-asymptotic bias formula in Nickell (1981) to the case where the dynamics follow a general autoregressive form. Second, √(NT)-normalized limit distribution for the pooled estimators is developed that allows for lag order misspecification, when both N and T are large. Third, a higher order approximation for the bias up to order N^(-1)T^(-2) is explored.
Publication Year: 2007
Publication Date: 2007-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 13
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