Estimating dynamic panel models: Backing out the Nickell Bias

Arbeitspapier

We propose a new 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. The estimator does well in a wide variety of situations where other estimators do not perform well: stationary initial condition, predetermined but not strictly exogenous regressors, and the presence of correlation between the error terms and the fixed effects. We also propose a general method for including predetermined variables in fixed-effects panel regressions.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: cemmap working paper ; No. CWP53/17

Classification and Topics

• Classification: Wirtschaft ; Econometrics ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hausman, Jerry A. ; Pinkovskiy, Maxim L.
• Event: Veröffentlichung
• (who): Centre for Microdata Methods and Practice (cemmap)
• (where): London
• (when): 2017

Further information

• DOI: doi:10.1920/wp.cem.2017.5317
• Handle: http://hdl.handle.net/10419/189789
• Last update: 10.03.2025, 11:44 AM CET