Bias in dynamic panel models under time series misspecification

Yoonseok Lee

Journal of Econometrics, 2012, vol. 169, issue 1, 54-60

Abstract: We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed effects, where the lag order is possibly misspecified. Even when disregarding the misspecification bias, the fixed-effect bias formula is quite different from the correctly specified case though its asymptotic order remains the same under the stationarity. We suggest bias reduction methods under the possible time series misspecification.

Keywords: Dynamic panel; Fixed effects; Misspecification; Bias reduction; Lag order (search for similar items in EconPapers)
JEL-codes: C23 C33 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:169:y:2012:i:1:p:54-60

DOI: 10.1016/j.jeconom.2012.01.009

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