Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix

Econometric Reviews

Volumn 22, Issue 1, 2003, Pages 29-58

  Bun, Maurice J G ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Asymptotic expansions; Bias correction; Bootstrap; Dynamic panel data model; Heteroscedasticity; Money demand

Indexed keywords

EID: 1542708067     PISSN: 07474938     EISSN: None     Source Type: Journal    
DOI: 10.1081/ETC-120017973     Document Type: Conference Paper

References (16)

1. Angeloni, I., Cottarelli, C., Levy, A. (1994). Cross-border deposits, aggregation, and money demand in the transition to EMU. J. Policy Model. 16:27-54.
2. Beck, N. J., Katz, J. (1995). What to do (and not to do) with time-series-cross-section data in comparative politics. Am. Polit. Sci. Rev. 89:634-647.
3. Bellmann, L., Breitung, J., Wagner, J. (1989). Bias correction and bootstrapping of error component models for panel data: theory and applications. Empirical Economics 14:329-342.
4. Bun, M. J. G., Kiviet, J. F. (2001). The accuracy of inference in small samples of dynamic panel data models. Tinbergen Institute Discussion Paper, 2001-006/4.
5. Fase, M. M. G., Winder, C. C. A. (1993). The demand for money in The Netherlands and the other EC countries. De Economist 141:471-495.
6. Fase, M. M. G., Winder, C. C. A. (1998). Wealth and the demand for money in the European Union. Empirical Economies 23:507-524.
7. Freedman, D. A., Peters, S. C. (1984). Bootstrapping a regression equation: some empirical results. J. Am. Stat. Assoc. 79:97-106.
8. Judson, R. A., Owen, A. L. (1999). Estimating dynamic panel data models: a guide for macroeconomists. Econ. Lett. 65:9-15.
9. Kiviet, J. F. (1995). On bias, inconsistency, and efficiency of various estimators in dynamic panel data models. J. Econometrics 68:53-78.
10. Kiviet, J. F. (1999). Expectations of expansions for estimators in a dynamic panel data model: some results for weakly exogenous regressors. In: Hsiao, C., Lahiri, K., Lee, L-F., Pesaran, M. H., eds. Analysis of Panels and Limited Dependent Variables. Cambridge: Cambridge University Press, pp. 199-225.
11. Kiviet, J. F., Phillips, G. D. A. (1994). Bias assesment and reduction in linear error-correction models. J. Econometrics 63:215-243.
12. Kiviet, J. F., Phillips, G. D. A., Schipp, B. (1995). The bias of OLS, GLS and ZEF estimators in dynamic seemingly unrelated regression models. J. Econometrics 68:241-266.
13. Kremers, J. J. M., Lane, T. D. (1992). Economic and monetary integration and the aggregate demand for money in the EMS. IMF Staff Papers 37:777-805.
14. Lane, T. D., Poloz, S. S. (1992). Currency substitution and cross-border monetary aggregation: evidence from the G-7. IMF Working Papers 92/81.
15. Monticelli, C., Papi, L. (1996). European Integration, Monetary Co-ordination, and the Demand for Money. Oxford: The Clarendon Press.
16. Pesaran, M. H., Zhao, Z. (1999). Bias reduction in estimating long-run relationships from dynamic heterogenous panels. In: Hsiao, C., Lahiri, K., Lee, L-F., Pesaran, M. H., eds. Analysis of Panels and Limited Dependent Variables. Cambridge: Cambridge University Press, pp. 297-322.