Bias correcting panel data estimators in dynamic models with cross-sectional dependence and endogeneity Ghent University
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.