Bias-Corrected Estimation in Dynamic Panel Data Models
为固定效应动态面板数据模型提出一种新的偏差校正估计量，推导了其在T有限、N大时的极限分布，并通过蒙特卡洛实验和1991-2000年美国州级失业动态实证分析验证其在小样本中的良好表现。
This study develops a new bias-corrected estimator for the fixed-effects dynamic panel data model and derives its limiting distribution for finite number of time periods, T, and large number of cross-section units, N. The bias-corrected estimator is derived as a bias correction of the least squares dummy variable (within) estimator. It does not share some of the drawbacks of recently developed instrumental variables and generalized method-of-moments estimators and is relatively easy to compute. Monte Carlo experiments provide evidence that the bias-corrected estimator performs well even in small samples. The proposed technique is applied in an empirical analysis of unemployment dynamics at the U.S. state level for the 1991–2000 period.