On the diminishing returns of higher-order terms in asymptotic expansions of bias

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• 作者：Bun ; Maurice J.G. ; Kiviet ; Jan F.
• 关键词：Asymptotic expansion ; Bias approximation ; Dynamic panel data model ; Finite sample bias ; LSDV estimator ; C13 ; C23
• 刊名：Economics Letters
• 出版年：2003
• 出版时间：May, 2003
• 年：2003
• 卷：79
• 期：2
• 页码：145-152
• 全文大小：200 K

文摘

The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the major part of the actual bias in small samples. This implies that bias correction procedures can be based on relatively simple bias approximation formulas.