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Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed E ¤ ects
| Content Provider | Semantic Scholar |
|---|---|
| Author | Hahn, J. K. Hausman, Jerry Kuersteiner, Guido M. |
| Copyright Year | 2001 |
| Abstract | This paper analyzes the second order bias of instrumental variables estimators for a dynamic panel model with fixed effects. Three different methods of second order bias correction are considered. Simulation experiments show that these methods perform well if the model does not have a root near unity but break down near the unit circle. To remedy the problem near the unit root a weak instrument approximation is used. We show that an estimator based on long differencing the model is approximately achieving the minimal bias in a certain class of instrumental variables (IV) estimators. Simulation experiments document the performance of the proposed procedure in finite samples. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://people.virginia.edu/~sns5r/recruiting/panelbias16-v3.pdf |
| Alternate Webpage(s) | http://www.bu.edu/econ/workingpapers/papers/Guido/wp2005/pb3-v16.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Approximation Cations Gm(m) Google Map Maker Mean squared error |
| Content Type | Text |
| Resource Type | Article |
