Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/189865
Authors: 
Hausman, Jerry A.
Pinkovskiy, Maxim L.
Year of Publication: 
2017
Series/Report no.: 
Staff Report 824
Abstract: 
We propose a novel 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. We show that this estimator performs well as compared with approaches in current use. We also propose a general method for including predetermined variables in fixed-effects panel regressions that appears to perform well.
Subjects: 
dynamic panel data
bias correction
econometrics
JEL: 
C2
C23
C26
Document Type: 
Working Paper

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