Analytical bias correction for two-step fixed effects models with copula-distributed errors

Costanza Naguib

Economics Letters, 2022, vol. 215, issue C

Abstract: We derive an analytical bias correction for two-step fixed effects models with copula-distributed errors. We work out the approximate bias correction for the Gaussian copula and present a numerical computation exercise for three other copula families. The results are derived for both n and T large.

Keywords: Two-step fixed effects; Analytical bias correction; Relative mobility (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:215:y:2022:i:c:s0165176522001264

DOI: 10.1016/j.econlet.2022.110498

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