@techreport{868238b64f7f40c680d27905ec6b756e,
title = "Bias-Corrected Common Correlated Effects Pooled Estimation In Homogeneous Dynamic Panels",
abstract = "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 series dimension (T) is fixed. We develop a bias-corrected estimator that is valid for a multi-factor error structure provided that a sufficient number of cross-sectional averages, and lags thereof, are added to the model. We show that the resulting CCEPbc estimator is consistent as the number of cross-sections (N) tends to infinity, both for T fixed or growing large. Monte Carlo experiments show that our correction offers strong improvements in terms of bias and variance.",
keywords = "Factor augmented regression, multi-factor error structure, dynamic panel bias",
author = "{De Vos}, Ignace and Gerdie Everaert",
year = "2016",
language = "English",
series = "Working Paper",
publisher = "Ghent University, Faculty of Economics and Business Administration",
number = "2016/920",
type = "WorkingPaper",
institution = "Ghent University, Faculty of Economics and Business Administration",
}