Bias in dynamic panel models under time series misspecification

Research output: Contribution to journalArticlepeer-review

26 Scopus citations


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
Issue number1
StatePublished - Jul 2012
Externally publishedYes


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

ASJC Scopus subject areas

  • Economics and Econometrics


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