Bias Reduction in Estimating Long-run Relationships from Dynamic Heterogenous Panels

Mohammad Pesaran and Z. Zhao

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: This paper considers the small sample properties of the mean group estimator of the long-run coefficients in dynamic heterogeneous panels, and using Monte Carlo techniques examines the effectiveness of a number of alternative bias-correction procedures in reducing the small sample bias of these estimates. Four different bias-corrected estimators of the long-run coefficients are considered. A `naive' procedure which attempts to bias-correct the estimator of the long-run coefficients, two variations of a direct approach which derives bias-corrections of the estimators of the short-run coefficients, and a bootstrap bias- correction procedure.

Date: 1998
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:9802

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