IDEAS home Printed from https://ideas.repec.org/a/taf/jnlbes/v39y2021i1p294-306.html
   My bibliography  Save this article

Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels

Author

Listed:
  • Ignace De Vos
  • Gerdie Everaert

Abstract

This article extends the common correlated effects pooled (CCEP) estimator to homogenous dynamic panels. In this setting, CCEP suffers from a large bias when the time span (T) of the dataset is fixed. We develop a bias-corrected CCEP estimator that is consistent as the number of cross-sectional units (N) tends to infinity, for T fixed or growing large, provided that the specification is augmented with a sufficient number of cross-sectional averages, and lags thereof. Monte Carlo experiments show that the correction offers strong improvements in terms of bias and variance. We apply our approach to estimate the dynamic impact of temperature shocks on aggregate output growth.

Suggested Citation

  • Ignace De Vos & Gerdie Everaert, 2021. "Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 294-306, January.
    • Handle: RePEc:taf:jnlbes:v:39:y:2021:i:1:p:294-306
    DOI: 10.1080/07350015.2019.1654879
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/07350015.2019.1654879
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/07350015.2019.1654879?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Philip Kerner & Torben Klarl & Tobias Wendler, 2021. "Green Technologies, Environmental Policy and Regional Growth," Bremen Papers on Economics & Innovation 2104, University of Bremen, Faculty of Business Studies and Economics.
    2. Ignace De Vos & Gerdie Everaert & Vasilis Sarafidis, 2021. "A method for evaluating the rank condition for CCE estimators," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1013, Ghent University, Faculty of Economics and Business Administration.
    3. Nicholas L. Brown & Peter Schmidt & Jeffrey M. Wooldridge, 2021. "Simple Alternatives to the Common Correlated Effects Model," Papers 2112.01486, arXiv.org.
    4. Stauskas, Ovidijus, 2021. "Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors," Working Papers 2021:9, Lund University, Department of Economics.
    5. Breitung, Jörg & Kripfganz, Sebastian & Hayakawa, Kazuhiko, 2022. "Bias-corrected method of moments estimators for dynamic panel data models," Econometrics and Statistics, Elsevier, vol. 24(C), pages 116-132.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jnlbes:v:39:y:2021:i:1:p:294-306. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/UBES20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.