Article ID Journal Published Year Pages File Type
5062446 Economics Letters 2006 8 Pages PDF
Abstract

This study extends earlier results on bias-corrected estimators for the fixed-effects dynamic panel data model. We derive the inconsistency of the LSDV estimator for finite T and N large in case of both time-series and cross-section heteroscedasticity and show how to implement it in bias correction procedures.

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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Bias-corrected estimation in dynamic panel data models with heteroscedasticity
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