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Everaert, G. and Pozzi, L. (2007). Bootstap-based bias correction for dynamic panels Journal of Economic Dynamics and Control, 31(4):1160--1184.

  • Journal
    Journal of Economic Dynamics and Control
View publication

The within or least-squares dummy variable estimator is inconsistent for homogeneous dynamic panel models with fixed time dimension T. We present a bias correction for this estimator based on an iterative bootstrap procedure. Monte Carlo simulations show that, for panels with small to moderate T, this procedure provides a good alternative for existing dynamic panel data estimators.