Bias-coffected estimation in dynamic panel data models with heteroscedasticity

被引：22

作者：

Bun, Maurice J. G.

Carree, Martin A.

机构：

[1] Univ Amsterdam, Fac Econ & Econometr, NL-1018 WB Amsterdam, Netherlands

[2] Tinbergen Inst, Amsterdam, Netherlands

[3] Maastricht Univ, Maastricht, Netherlands

来源：

ECONOMICS LETTERS | 2006年 / 92卷 / 02期

关键词：

bias correction; dynamic panel data model; heteroscedasticity; least squares dummy variable estimator;

D O I：

10.1016/j.econlet.2006.02.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study extends earlier results on bias-corrected estimators for the fixed-effects dynamic panel data model. We derive the inconsistency of the LSDV estimator for finite T and N large in case of both time-series and cross-section heteroscedasticity and show how to implement it in bias correction procedures. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：220 / 227

页数：8

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