Bias-corrected least squares estimation and inference are derived for dynamic panel models with interactive fixed effects under joint large-N and large-T asymptotics.
ρ0 = 0.3ρ 0 = 0.9 OLS FLS BC-FLS CCE OLS FLS BC-FLS CCE T= 5 bias 0.1239 -0.5467 -0.3721 -0.1767 0.0218 -0.9716 -0.7490 -0.3289 (M=
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Dynamic Linear Panel Regression Models with Interactive Fixed Effects
Bias-corrected least squares estimation and inference are derived for dynamic panel models with interactive fixed effects under joint large-N and large-T asymptotics.