[PDF] A Note On Correcting Biases In Dynamic Panel Models eBook

Author : Yoonseok Lee
Publisher :
Page : 0 pages
File Size : 16,66 MB
Release : 2011
Category :
ISBN :

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This paper considers higher-order autoregressive (AR(p)) panel models with fixed effects, where the lag order p is unknown and possibly misspecified. A pooled least squares estimator is considered and its asymptotic biases are studied. Specifically, we first extend the N-asymptotic bias formula in Nickell (1981) to the case where the dynamics follow a general autoregressive form. Second, √(NT)-normalized limit distribution for the pooled estimators is developed that allows for lag order misspecification, when both N and T are large. Third, a higher order approximation for the bias up to order N^(-1)T^(-2) is explored. Besides the well-known endogeneity bias incurred by the within-transformation in dynamic fixed-effects models, additional bias under misspecification is analytically derived, which argues that model specification should precede any bias correction in dynamic panel modeling. We suggest a general form for bias correction, which specifically incorporates the lag order selection. A consistent lag order selection criterion is also proposed, which is more suitable for large panel system with fixed effects. Some extensions of the bias correction are also considered under exogenous variable, and the bias corrected short-run and long-run coefficients are discussed. Lastly, as an empirical application, a study on habit formation in consumption preferences is presented using U.S. state-level data.

Author : Dek Terrell
Publisher : Emerald Group Publishing
Page : 418 pages
File Size : 21,18 MB
Release : 2020-04-15
Category : Business & Economics
ISBN : 1789739594

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Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.

Author : Badi Hani Baltagi
Publisher :
Page : 705 pages
File Size : 44,52 MB
Release : 2015
Category : Business & Economics
ISBN : 0199940045

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The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.

Author : Cheng Hsiao
Publisher : Cambridge University Press
Page : 352 pages
File Size : 21,92 MB
Release : 1999-07-29
Category : Business & Economics
ISBN : 113943134X

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This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover and Labeaga, primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real-world phenomena into easily generalisable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.

Author : Jinyong Hahn
Publisher :
Page : 0 pages
File Size : 40,20 MB
Release : 2005
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ISBN :

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This paper investigates a simple dynamic linear panel regression model with both fixed effects and time effects. Using large n and large T asymptotics, we approximate the distribution of the fixed effect estimator of the autoregressive parameter in the dynamic linear panel model and derive its asymptotic bias. We find that the same higher order bias correction approach proposed by Hahn and Kuersteiner (2002) can be applied to the dynamic linear panel model even when time specifc effects are present.