Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096390 | Journal of Econometrics | 2012 | 7 Pages |
Abstract
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 formula is quite different from the correctly specified case though its asymptotic order remains the same under the stationarity. We suggest bias reduction methods under the possible time series misspecification.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yoonseok Lee,