Journal
ECONOMICS LETTERS
Volume 92, Issue 2, Pages 220-227Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2006.02.008
Keywords
bias correction; dynamic panel data model; heteroscedasticity; least squares dummy variable estimator
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This study extends earlier results on bias-corrected estimators for the fixed-effects dynamic panel data model. We derive the inconsistency of the LSDV estimator for finite T and N large in case of both time-series and cross-section heteroscedasticity and show how to implement it in bias correction procedures. (c) 2006 Elsevier B.V. All rights reserved.
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