On the bias of the OLS estimator in a nonstationary dynamic panel data model

Jean-Yves Pitarakis

Statistics & Probability Letters, 1998, vol. 38, issue 2, 145-150

Abstract: This paper derives the joint moment generating function of two quadratic forms appearing in the OLS estimator from a dynamic panel data model. The result is then used to investigate the effect of the cross-section dimension on the asymptotic bias.

Keywords: Panel; data; Moment; generating; function; Unit; roots (search for similar items in EconPapers)
Date: 1998
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