On the bias of the OLS estimator in a nonstationary dynamic panel data model
On the bias of the OLS estimator in a nonstationary dynamic panel data model
This paper derives the joint moment generating function of two quadratic forms appearing in the OLS estimator from a dynamic panel data model. The result is then used to investigate the effect of the cross-section dimension on the asymptotic bias.
145-150
Pitarakis, J.
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
1998
Pitarakis, J.
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
Pitarakis, J.
(1998)
On the bias of the OLS estimator in a nonstationary dynamic panel data model.
Statistics and Probability Letters, 38 (2), .
(doi:10.1016/S0167-7152(97)00165-X).
Abstract
This paper derives the joint moment generating function of two quadratic forms appearing in the OLS estimator from a dynamic panel data model. The result is then used to investigate the effect of the cross-section dimension on the asymptotic bias.
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Published date: 1998
Organisations:
Economics
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Local EPrints ID: 30819
URI: http://eprints.soton.ac.uk/id/eprint/30819
ISSN: 0167-7152
PURE UUID: f49ec5c1-78b0-4724-ae32-c767343ce51d
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Date deposited: 11 May 2006
Last modified: 16 Mar 2024 03:32
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