Bias in dynamic panel models under time series misspecification |
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Authors: | Yoonseok Lee |
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Institution: | Department of Economics, University of Michigan, 611 Tappan Street, Ann Arbor, MI 48109-1220, United States |
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Abstract: | We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed effects, where the lag order is possibly misspecified. Even when disregarding the misspecification bias, the fixed-effect bias formula is quite different from the correctly specified case though its asymptotic order remains the same under the stationarity. We suggest bias reduction methods under the possible time series misspecification. |
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Keywords: | C23 C33 |
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