Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/189789
Authors: 
Hausman, Jerry A.
Pinkovskiy, Maxim L.
Year of Publication: 
2017
Series/Report no.: 
cemmap working paper CWP53/17
Abstract: 
We propose a new estimator for the dynamic panel model, which solves the failure of strict exogeneity by calculating the bias in the first-order conditions as a function of the autoregressive parameter and solving the resulting equation. The estimator does well in a wide variety of situations where other estimators do not perform well: stationary initial condition, predetermined but not strictly exogenous regressors, and the presence of correlation between the error terms and the fixed effects. We also propose a general method for including predetermined variables in fixed-effects panel regressions.
JEL: 
C01
C22
C23
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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