Estimating dynamic panel models: backing out the Nickell Bias

Jerry A. Hausman and Maxim Pinkovskiy

No 824, Staff Reports from Federal Reserve Bank of New York

Abstract: We propose a novel estimator for the dynamic panel model, which solves the failure of strict exogeneity by calculating the bias in the first-order conditions as a function of the autoregressive parameter and solving the resulting equation. We show that this estimator performs well as compared with approaches in current use. We also propose a general method for including predetermined variables in fixed-effects panel regressions that appears to perform well.

Keywords: dynamic panel data; bias correction; econometrics (search for similar items in EconPapers)
JEL-codes: C2 C23 C26 (search for similar items in EconPapers)
Date: 2017-10-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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