Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels
| Autor: | Ignace De Vos, Gerdie Everaert |
|---|---|
| Přispěvatelé: | Econometrics and Data Science |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Economics ADJUSTMENT Span (engineering) 01 natural sciences Data modeling Business and Economics 010104 statistics & probability DATA MODELS REGRESSION 0502 economics and business Statistics 0101 mathematics Probability Theory and Statistics 050205 econometrics Mathematics Estimation common correlated effects 05 social sciences Estimator Probability and statistics Regression CROSS-SECTIONAL DEPENDENCE Mathematics and Statistics dynamic panel bias Probability and Uncertainty factor augmented regression Statistics Probability and Uncertainty Social Sciences (miscellaneous) multifactor error structure |
| Zdroj: | De Vos, I & Everaert, G 2021, ' Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels ', Journal of Business and Economic Statistics, vol. 39, no. 1, pp. 294-306 . https://doi.org/10.1080/07350015.2019.1654879 Journal of Business and Economic Statistics, 39(1), 294-306. American Statistical Association Journal of Business & Economic Statistics; 39(1), pp 294-306 (2021) JOURNAL OF BUSINESS & ECONOMIC STATISTICS |
| ISSN: | 0735-0015 1537-2707 |
| DOI: | 10.1080/07350015.2019.1654879 |
| Popis: | This article extends the common correlated effects pooled (CCEP) estimator to homogenous dynamic panels. In this setting, CCEP suffers from a large bias when the time span (T) of the dataset is fixed. We develop a bias-corrected CCEP estimator that is consistent as the number of cross-sectional units (N) tends to infinity, for T fixed or growing large, provided that the specification is augmented with a sufficient number of cross-sectional averages, and lags thereof. Monte Carlo experiments show that the correction offers strong improvements in terms of bias and variance. We apply our approach to estimate the dynamic impact of temperature shocks on aggregate output growth. |
| Databáze: | OpenAIRE |
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