Bias in dynamic panel models under time series misspecification

Research output: Contribution to journalArticle

19 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)54-60
Number of pages7
JournalJournal of Econometrics
Volume169
Issue number1
DOIs
StatePublished - Jul 1 2012
Externally publishedYes

Keywords

  • Bias reduction
  • Dynamic panel
  • Fixed effects
  • Lag order
  • Misspecification

ASJC Scopus subject areas

  • Economics and Econometrics

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