The Resource Bias corrected instrumental variables estimation for dynamic panel models with fixed effects, Jinyong Hahn, Jerry Hausman [and] Guido Kuersteiner., (electronic resource)

Bias corrected instrumental variables estimation for dynamic panel models with fixed effects, Jinyong Hahn, Jerry Hausman [and] Guido Kuersteiner., (electronic resource)

Label
Bias corrected instrumental variables estimation for dynamic panel models with fixed effects
Title
Bias corrected instrumental variables estimation for dynamic panel models with fixed effects
Statement of responsibility
Jinyong Hahn, Jerry Hausman [and] Guido Kuersteiner.
Creator
Contributor
Provider
Language
eng
Summary
This paper analyzes the second order bias of instrumental variables estimators for a dynamic panel model with fixed effects. Three different methods of second order bias correction are considered. Simulation experiments show that these methods perform well if the model does not have a root near unity but break down near the unit circle. To remedy the problem near the unit root a weak instrument approximation is used. We show that an estimator based on long differencing the model is approximately achieving the minimal bias in a certain class of instrumental variables (IV) estimators. Simulation experiments document the performance of the proposed procedure in finite samples. Keywords: dynamic panel, bias correction, second order, unit root, weak instrument
Member of
Additional physical form
Abstract in HTML and working paper for download in PDF available via World Wide Web at the Social Science Research Network.
Cataloging source
MYG
http://library.link/vocab/creatorName
Hahn, Jinyong
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
  • bibliography
  • technical reports
http://library.link/vocab/relatedWorkOrContributorName
  • Hausman, Jerry A
  • Kuersteiner, Guido M
  • Massachusetts Institute of Technology
  • Internet Archive
Series statement
Working paper series / Massachusetts Institute of Technology, Dept. of Economics
Series volume
working paper 01-24
Label
Bias corrected instrumental variables estimation for dynamic panel models with fixed effects, Jinyong Hahn, Jerry Hausman [and] Guido Kuersteiner., (electronic resource)
Instantiates
Publication
Note
  • Title from cover
  • "June 2001."
Bibliography note
Includes bibliographical references (p. 50-52)
Dimensions
28 cm.
Extent
61 p.
Form of item
regular print reproduction
Other physical details
ill.
Specific material designation
remote
System control number
  • (OCoLC)49807781
  • (CaSfIA)biascorrectedins00hahn
  • (CaSfIA)001040696
Label
Bias corrected instrumental variables estimation for dynamic panel models with fixed effects, Jinyong Hahn, Jerry Hausman [and] Guido Kuersteiner., (electronic resource)
Publication
Note
  • Title from cover
  • "June 2001."
Bibliography note
Includes bibliographical references (p. 50-52)
Dimensions
28 cm.
Extent
61 p.
Form of item
regular print reproduction
Other physical details
ill.
Specific material designation
remote
System control number
  • (OCoLC)49807781
  • (CaSfIA)biascorrectedins00hahn
  • (CaSfIA)001040696

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