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>