2002
DOI: 10.1111/1468-0262.00344
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Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large

Abstract: We consider a dynamic panel AR(1) model with fixed effects when both n and T are large. Under the "T fixed n large" asymptotic approximation, the maximum likelihood estimator is known to be inconsistent due to the well-known incidental peirameter problem. We consider an alternative asymptotic approximation where n and T grow at the same rate. It is shown that, although the MLE is asymptotically biased, a relatively simple fix to the MLE results in an asymptotically unbiased estimator. The bias corrected MLE is… Show more

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Cited by 388 publications
(226 citation statements)
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“…However, comparing the asymptotic variances of the two IV estimators, we find that  A B IV is more efficient than  A L IV . Furthermore, when p = 1,  A B IV has the same asymptotic distribution as the bias-corrected FE estimator of Hahn and Kuersteiner (2002). Hahn and Kuersteiner (2002) shows that…”
Section: K Hayakawa / Computational Statistics and Data Analysis ( ) -mentioning
confidence: 83%
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“…However, comparing the asymptotic variances of the two IV estimators, we find that  A B IV is more efficient than  A L IV . Furthermore, when p = 1,  A B IV has the same asymptotic distribution as the bias-corrected FE estimator of Hahn and Kuersteiner (2002). Hahn and Kuersteiner (2002) shows that…”
Section: K Hayakawa / Computational Statistics and Data Analysis ( ) -mentioning
confidence: 83%
“…In this study, we demonstrate that these favorable features apply to VAR models as well. Specifically, we show that the IV estimator using the proposed instruments has the same asymptotic distribution as the efficient biascorrected FE estimator proposed by Hahn and Kuersteiner (2002) when both N and T are large. In addition, the simulation results show that the proposed IV/GMM estimators outperform the GMM estimators in many cases using instruments in levels.…”
Section: Introductionmentioning
confidence: 84%
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