Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence

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dc.contributor.author Phillips, Peter en
dc.contributor.author Sul, Donggyu en
dc.date.accessioned 2006-11-30T20:53:32Z en
dc.date.available 2006-11-30T20:53:32Z en
dc.date.issued 2003 en
dc.identifier.citation Department of Economics Working Paper Series 252 en
dc.identifier.uri http://hdl.handle.net/2292/177 en
dc.description.abstract Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the cross section sample size N 8. The results extend earlier work by Nickell (1981) in several directions that are relevant for practical work, including models with unit roots, deterministic trends, predetermined and exogenous regressors, and errors that may be cross sectionally dependent. The asymptotic bias is found to be so large when incidental linear trends are fitted and the time series sample size is small that it changes the sign of the autoregressive coefficient. Another finding of interest is that, when there is cross section error dependence, the probability limit of the dynamic panel regression estimator is a random variable rather than a constant, which helps to explain the substantial variability observed in dynamic panel estimates when there is cross section dependence even in situations where N is very large. en
dc.format.extent application/pdf en
dc.format.mimetype text en
dc.language.iso en en
dc.publisher ResearchSpace@Auckland en
dc.relation.ispartofseries Department of Economics Working Paper Series (1997-2006) en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. en
dc.rights.uri https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm en
dc.subject.other Autoregression en
dc.subject.other Economics en
dc.title Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence en
dc.type Working Paper en
dc.rights.holder Copyright: the author en
dc.rights.accessrights http://purl.org/eprint/accessRights/OpenAccess en
pubs.org-id Economics en


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