A note on bias-corrected estimation in dynamic panel data models

Artūras Juodis

Economics Letters, 2013, vol. 118, issue 3, 435-438

Abstract: In this note we extend the method proposed in Bun and Carree (2006) to the more general PVARX(1) model and show that the iterative procedure is not consistent for fixed T. Subsequently we provide corrected version of the bias correction procedure which is fixed T consistent and robust to both cross-sectional and time-series heteroscedasticity.

Keywords: Dynamic panel data; Bias correction; Fixed T consistency; Heteroscedasticity (search for similar items in EconPapers)
JEL-codes: C13 C33 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:3:p:435-438

DOI: 10.1016/j.econlet.2012.12.013

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