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Bias-corrected estimation in dynamic panel data models with heteroscedasticity

โœ Scribed by Maurice J.G. Bun; Martin A. Carree


Book ID
116421363
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
119 KB
Volume
92
Category
Article
ISSN
0165-1765

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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. (~