Bootstrap-based bias correction for dynamic panels

By G. Everaert, L. Pozzi. 2007

231 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/97f0dc2c4564abc49c6e9ecf9def4bcca54f39c0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Yongcheol Shin
2. Vi Dang
3. Min-Joo Kim
4. Duc Hong Vo
5. Loan Thi-Hong Van
6. N. Nguyen
7. Anh The Vo
8. G. Everaert

Citations in the corpus

• In Search of Robust Methods for Dynamic Panel Data Models in Empirical Corporate Finance (2015, unknown): “…LSDVC) (Kiviet, 1995; Bruno, 2005), or approximate the bias function and search for unbiased estimates using an iterative bootstrap-based correction procedure (hereafter BC) (Everaert and Pozzi, 2007), or a simulation-based indirect inference method (hereafter II) (e.g., Gouriéroux et al., 2010).”
• Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors (2015, unknown): “…Hahn and Moon, 2006, Hahn and Newey, 2004, Kiviet, 1995 and 1999, and Newey and Smith, 2004); (ii) bootstrap and simulation based bias corrections (Everaert and Ponzi, 2007, Phillips and Sul, 2003 and 2007), and (iii) other methods, including jackknife bias corrections (Hahn and Newey, 2004, and…”
• Financial Inclusion and Economic GROWTH: An International Evidence (2019, methodology): “This method estimates the specified model with the fixed effects estimator and corrects its small T bias (see Nickell, 1981) using a simplified but extended version of the approach presented in Everaert and Pozzi (2007).”
• Asymmetric Capital Structure Adjustments: New Evidence from Dynamic Panel Threshold Models (2012, methodology): “To allow for heteroscedasticity over time and across cross-section, we assume that eit follows an ARCH(1) process (Everaert and Pozzi, 2007): eit = h1/2it ξit, hit = ω + ae2i,t−1, ξit ∼ iidN (0, 1) , (28) The initial value of eit can be obtained from the stationary distribution of eit such that ei1…”
• Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence (2016, background): “Given that the asymptotic bias may be quite sizable in many cases relevant to applied research, various alternative estimators have been suggested ranging from, among others, general method of moments (GMM) estimators (Arellano and Bond, 1991; Blundell and Bond, 1998), over analytical bias corrected”