Bias corrected instrumental variables estimation for dynamic panel models with fixed effects
By: Jinyong Hahn, Jerry Hausman [and] Guido Kuersteiner
Contributors: Hausman, Jerry A.; Kuersteiner, Guido M.; Massachusetts Institute of Technology. Dept. of Economics
Series: Working paper series / Massachusetts Institute of Technology, Dept. of Economics -- working paper 01-24; Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 01-24.
Publisher: Massachusetts Institute of Technology, Dept. of Economics
Published: 2001
Place of publication: Cambridge, MA
Language: eng
Number of pages: 61
Description: 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.
Notes: Title from cover.

"June 2001."

Includes bibliographical references (p. 50-52).

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