Bias in Dynamic Panel Models Under Time Series Misspecification

19 Pages Posted: 20 May 2011

See all articles by Yoonseok Lee

Yoonseok Lee

Syracuse University - Center for Policy Research; Syracuse University - Department of Economics

Date Written: March 9, 2011

Abstract

We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed effects, where the lag order is possibly misspecified. Even when disregarding the misspecification bias, the fixed-effect bias formula is quite different from the correctly specified case though its asymptotic order remains the same under the stationarity. We suggest bias reduction methods under the possible time series misspecification.

Keywords: Dynamic panel, Fixed effects, Misspecification, Bias reduction, Lag order

JEL Classification: C23, C33

Suggested Citation

Lee, Yoonseok, Bias in Dynamic Panel Models Under Time Series Misspecification (March 9, 2011). Available at SSRN: https://ssrn.com/abstract=1845867 or http://dx.doi.org/10.2139/ssrn.1845867

Yoonseok Lee (Contact Author)

Syracuse University - Center for Policy Research ( email )

Syracuse, NY 13244
United States

Syracuse University - Department of Economics ( email )

Syracuse, NY 13244-1020
United States

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