REDUCING BIAS OF MLE IN A DYNAMIC PANEL MODEL

By Jinyong Hahn, H. R. Moon. Econometric Theory, 2006

64 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9ce1b12fa2bc8d73fc031041db26bef6b162305a

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Citations in the corpus

Individual and time effects in nonlinear panel models with large N , T (2013, background): “Under Assumption 4.2(i), if {αi}N and {γt}T are independent sequences, andαi and γt are independent for all i, t , thenE[∆it∆js] = E[∆it ]E[∆js] = 0 if i ≠ j and t ≠ s, so that E[(δ − δ0NT ) 2 ] = 1 N2T 2 i,t,s E ∆it∆is+ i,j,t E ∆it∆jt − i,t E ∆2it = O N + T − 1 NT , I. Fernández-Val, M. Weid”
Jackknife estimation of stationary autoregressive models (2013, unknown): “…both bootstrap and jackknife bias corrections to maximum likelihood estimators based on an i.i.d. sample while applications to panel data models (including nonlinear and dynamic models) have been considered by Hahn and Newey (2004), Hahn and Moon (2006) and Dhaene, Jochmans and Thuysbaert (2006).”
A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS (2009, methodology): “In Hahn and Moon (2006) with a simple AR(1) model where the direct approach is used, the inclusion of time effects will not change the bias of the estimate of the dynamic coefficient, and the bias correction procedure is the same as that of Hahn and Kuersteiner (2002) where only individual effects…”
Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors (2015, unknown): “…on an asymptotic bias formula (Bruno, 2005, Bun, 2003, Bun and Carree, 2005 and 2006, Bun and Kiviet, 2003, Hahn and Kuersteiner, 2002 and 2011, Hahn and Moon, 2006, Hahn and Newey, 2004, Kiviet, 1995 and 1999, and Newey and Smith, 2004); (ii) bootstrap and simulation based bias corrections…”
The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation (2018, background): “Interestingly, in the context of estimating linear dynamic panel data models, estimation of the time effects τt does not introduce any asymptotic bias into the FE estimator with strictly or weakly exogenous regressors (see, e.g., Hahn and Moon 2006).”