Bias in dynamic panel models under time series misspecification

Yoonseok Lee

doi:10.1016/j.jeconom.2012.01.009

Bias in dynamic panel models under time series misspecification

Yoonseok Lee

Research output: Contribution to journal › Article › peer-review

26 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 language	English (US)
Pages (from-to)	54-60
Number of pages	7
Journal	Journal of Econometrics
Volume	169
Issue number	1
DOIs	https://doi.org/10.1016/j.jeconom.2012.01.009
State	Published - Jul 2012
Externally published	Yes

Keywords

Bias reduction
Dynamic panel
Fixed effects
Lag order
Misspecification

ASJC Scopus subject areas

Economics and Econometrics

Access to Document

10.1016/j.jeconom.2012.01.009

Cite this

@article{fde78d42ddf24088906625780cc22d7d,

title = "Bias in dynamic panel models under time series misspecification",

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 = "Bias reduction, Dynamic panel, Fixed effects, Lag order, Misspecification",

author = "Yoonseok Lee",

year = "2012",

month = jul,

doi = "10.1016/j.jeconom.2012.01.009",

language = "English (US)",

volume = "169",

pages = "54--60",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier",

number = "1",

}

TY - JOUR

T1 - Bias in dynamic panel models under time series misspecification

AU - Lee, Yoonseok

PY - 2012/7

Y1 - 2012/7

N2 - 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.

AB - 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.

KW - Bias reduction

KW - Dynamic panel

KW - Fixed effects

KW - Lag order

KW - Misspecification

UR - http://www.scopus.com/inward/record.url?scp=84862795302&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84862795302&partnerID=8YFLogxK

U2 - 10.1016/j.jeconom.2012.01.009

DO - 10.1016/j.jeconom.2012.01.009

M3 - Article

AN - SCOPUS:84862795302

SN - 0304-4076

VL - 169

SP - 54

EP - 60

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1

ER -

Bias in dynamic panel models under time series misspecification

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this