10.6084/m9.figshare.9594299.v1 Ignace De Vos Ignace De Vos Gerdie Everaert Gerdie Everaert Bias-corrected Common Correlated Effects Pooled estimation in dynamic panels Taylor & Francis Group 2019 Factor augmented regression multi-factor error structure common correlated effects dynamic panel bias 2019-08-13 19:15:33 Dataset https://tandf.figshare.com/articles/dataset/Bias-corrected_Common_Correlated_Effects_Pooled_estimation_in_dynamic_panels/9594299 <p>This paper extends the Common Correlated Effects Pooled (CCEP) estimator to homogeneous 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.</p>