Arbeitspapier

On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias

zu Verbundenen Objekten

The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the major part of the actual bias in small samples. This implies that bias correction procedures can be based on relatively simple bias approximation formulas.

Sprache
Englisch

Erschienen in
Series: Tinbergen Institute Discussion Paper ; No. 02-099/4

Klassifikation
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Thema
Mymptotic expansion
biM approximation
dynamic panel data model
finite sample biM
LSDV estimator
Bias
Panelforschung
Theorie

Ereignis
Geistige Schöpfung
(wer)
Bun, Maurice J.G.
Kiviet, Jan F.
Ereignis
Veröffentlichung
(wer)
Tinbergen Institute
(wo)
Amsterdam and Rotterdam
(wann)
2002

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Bun, Maurice J.G.
  • Kiviet, Jan F.
  • Tinbergen Institute

Entstanden

  • 2002

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