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On the bias of the OLS estimator in a nonstationary dynamic panel data model

✍ Scribed by Jean-Yves Pitarakis

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
297 KB
Volume
38
Category
Article
ISSN
0167-7152

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✦ Synopsis

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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