Grouped coefficients to reduce bias in heterogeneous dynamic panel models with smallT
نویسندگان
چکیده
منابع مشابه
Bias Reduction for Dynamic Nonlinear Panel Models with Fixed Effects
The fixed effects estimator of panel models can be severely biased because of the well-known incidental parameter problems. It is shown that such bias can be reduced as T grows with n. We consider asymptotics where n and T grow at the same rate as an approximation that allows us to compare bias properties. Under these asymptotics the bias corrected estimators are centered at the truth, whereas ...
متن کاملBias in Dynamic Panel Models under Time Series Misspecication
We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and xed e¤ects, where the lag order is possibly misspeci ed. Even when disregarding the misspeci cation bias, the xed-e¤ect bias formula is quite different from the correctly speci ed case though its asymptotic order remain the same under the stationarity. We suggest some bias reduction m...
متن کاملBandwidth Choice for Bias Estimators in Dynamic Nonlinear Panel Models
This paper considers bandwidth selection for spectral density estimators based on panel data sets. The spectral densities of greatest interest in this paper are the ones that appear in the bias expression for xed e¤ects estimators in nonlinear dynamic panel models obtained by Hahn and Kuersteiner. The bias estimation problem is di¤erent from the usual HAC estimation problem because the need fo...
متن کاملNonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models∗
Recent developments in nonlinear panel data analysis allow identifying and estimating general dynamic systems. In this review we describe some results and techniques for nonparametric identification and flexible estimation in the presence of time-invariant and time-varying latent variables. This opens the possibility to estimate nonlinear reduced forms in a large class of structural dynamic mod...
متن کاملBias Correction in Panel Data Models with Individual Specific Parameters
In random coefficients linear IV models, fixed effects averages of the individual-specific coefficients are biased in short panels due to the finite-sample bias of IV estimators. This paper introduces a new class of bias-corrected semiparametric estimators for panel models where the response to the regressors can be individual-specific in an unrestricted way. These estimators are based on momen...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Economics
سال: 2015
ISSN: 0003-6846,1466-4283
DOI: 10.1080/00036846.2015.1029112