On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias

Maurice J.G. Bun () and Jan Kiviet
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Maurice J.G. Bun: Faculty of Economics and Econometrics, University of Amsterdam

No 02-099/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This discussion paper resulted in a publication in Economics Letters . Vol. 79(2), pages 145-152.

The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the major part of the actual bias in small samples. This implies that bias correction procedures can be based on relatively simple bias approximation formulas.

Keywords: Mymptotic expansion; biM approximation; dynamic panel data model; finite sample biM; LSDV estimator (search for similar items in EconPapers)
JEL-codes: C13 C23 (search for similar items in EconPapers)
Date: 2002-10-07, Revised 2002-10-24
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: On the diminishing returns of higher-order terms in asymptotic expansions of bias (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20020099

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