A note on bias-corrected estimation in dynamic panel data models

In this note we extend the method proposed in Bun and Carree (2006) to the more general PVARX(1) model and show that the iterative procedure is not consistent for fixed T. Subsequently we provide corrected version of the bias correction procedure which is fixed T consistent and robust to both cross-sectional and time-series heteroscedasticity.

► We show that the method of Bun and Carree (2006) is not fixed T consistent. ► We derive the corrected version of the robust estimator. ► In the MC study we compare the original estimator and the corrected estimator. ► Results suggest that the proposed estimator has desirable finite sample properties.