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On the bias of the OLS estimator in a nonstationary dynamic panel data model

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  • Pitarakis, Jean-Yves

Abstract

This paper derives the joint moment generating function of two quadratic forms appearing in the OLS estimator from a dynamic panel data model. The result is then used to investigate the effect of the cross-section dimension on the asymptotic bias.

Suggested Citation

  • Pitarakis, Jean-Yves, 1998. "On the bias of the OLS estimator in a nonstationary dynamic panel data model," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 145-150, June.
    • Handle: RePEc:eee:stapro:v:38:y:1998:i:2:p:145-150
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    References listed on IDEAS

    as
    1. Quah, Danny, 1994. "Exploiting cross-section variation for unit root inference in dynamic data," Economics Letters, Elsevier, vol. 44(1-2), pages 9-19.
    2. Sawa, Takamitsu, 1978. "The exact moments of the least squares estimator for the autoregressive model," Journal of Econometrics, Elsevier, vol. 8(2), pages 159-172, October.
    3. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
    4. Pitarakis, Jean-Yves, 1998. "Moment Generating Functions And Further Exact Results For Seasonal Autoregressions," Econometric Theory, Cambridge University Press, vol. 14(6), pages 770-782, December.
    5. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
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