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Estimating dynamic panel models: backing out the Nickell bias
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Authors and Corporations: | , |
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Other Authors: | Pinkovskiy, Maxim L. [Author] |
Type of Resource: | E-Book |
Language: | English |
published: | |
Series: |
Federal Reserve Bank of New York: Staff reports ; no. 824 (October 2017)
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Subjects: | |
Source: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
Summary: | We propose a novel estimator for the dynamic panel model, which solves the failure of strict exogeneity by calculating the bias in the first-order conditions as a function of the autoregressive parameter and solving the resulting equation. We show that this estimator performs well as compared with approaches in current use. We also propose a general method for including predetermined variables in fixed-effects panel regressions that appears to perform well. |
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Physical Description: | 1 Online-Ressource (circa 25 Seiten) |