A note on bias-corrected estimation in dynamic panel data models

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 118
Issue: 3
Pages: 435-438

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this note we extend the method proposed in Bun and Carree (2006) to the more general PVARX(1) model and show that the iterative procedure is not consistent for fixed T. Subsequently we provide corrected version of the bias correction procedure which is fixed T consistent and robust to both cross-sectional and time-series heteroscedasticity.

Technical Details

RePEc Handle
repec:eee:ecolet:v:118:y:2013:i:3:p:435-438
Journal Field
General
Author Count
1
Added to Database
2026-01-25