Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence

Journal of Econometrics

Volumn 137, Issue 1, 2007, Pages 162-188

  Phillips, Peter C B ^a,b,c   Sul, Donggyu ^b  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c UNIVERSITY OF YORK   (United Kingdom)

Author keywords

Autoregression; Bias; Bias correction; Cross section dependence; Dynamic factors; Dynamic panel estimation; Incidental trends; Panel unit root

Indexed keywords

COMPUTER SIMULATION; ERROR DETECTION; MATHEMATICAL MODELS; PARAMETER ESTIMATION; PROBABILITY; REGRESSION ANALYSIS;

AUTOREGRESSION; BIAS CORRECTION; CROSS SECTION DEPENDENCE; DYNAMIC FACTORS; DYNAMIC PANEL ESTIMATION; PANEL UNIT ROOT;

ASYMPTOTIC STABILITY;

EID: 33846541934     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.03.009     Document Type: Article

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