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Biases in Dynamic Models with Fixed Effects
Vol. 49, No. 6 (Nov., 1981), pp. 1417-1426
Published by: The Econometric Society
Stable URL: http://www.jstor.org/stable/1911408
Page Count: 10
You can always find the topics here!Topics: Estimation bias, Dynamic modeling, Econometrics, Applied economics, Economic impact analysis, Statistical estimation, Economic analysis, Economic modeling, Time series, Statistical variance
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It is well known from the Monte-Carlo work of Nerlove that using the standard within-group estimator for dynamic models with fixed individual effects generates estimates which are inconsistent as the number of "individuals" tends to infinity if the number of time periods is kept fixed. In this paper we present analytical expressions for these inconsistencies for the first order autoregressive case.
Econometrica © 1981 The Econometric Society