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Lee study on bias in dynamic panel models under time series misspecification published in J of Econ

Jun 30, 2012

Bias in Dynamic Panel Models under Time Series Misspecification

Yoonseok Lee

Journal of Econometrics, June 2012

Yoonseok Lee

Yoonseok Lee


Lee considers 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. Lee suggests bias reduction methods under the possible time series misspecification.