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Estimating dynamic panel models: backing out the Nickell bias

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Bibliographic Details
Authors and Corporations: Hausman, Jerry A. (Author), Pinkovskiy, Maxim L. (Author)
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)
Subjects:
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
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.
Physical Description: 1 Online-Ressource (circa 25 Seiten)