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Project
Bias correcting panel data estimators in dynamic models with cross-sectional dependence and endogeneity
The FE and CCEP estimators show considerable bias in dynamic models. Many corrections have been devised for FE, but none are applicable to case of endogenous regressors. We address this issue with the bootstrap method. The CCEP estimator is essential under cross-section dependence but has not yet been bias corrected. Such corrections (analytical and bootstrap-based) constitute our second research goal.
Date:1 Oct 2014 → 30 Sep 2018
Keywords:bootstrap, bias correction, LSDV, panel data, dynamic models, Fixed Effects (FE) estimator, endogeneity, Common Correlated Effects Pooled (CCEP) estimator, cross-sectional dependence
Disciplines:Economic history, Statistics and numerical methods, Microeconomics, Applied mathematics in specific fields, Macroeconomics and monetary economics, Applied economics, Tourism