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- Title
BIASES IN DYNAMIC MODELS WITH FIXED EFFECTS.
- Authors
Nickell, Stephen
- Abstract
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.
- Subjects
MONTE Carlo method; GAMES of chance; MATHEMATICAL models; NUMERICAL analysis; NUMERICAL calculations; STOCHASTIC processes; LEAST squares; AUTOREGRESSION (Statistics); EXOGENEITY (Econometrics); ECONOMETRICS
- Publication
Econometrica, 1981, Vol 49, Issue 6, p1417
- ISSN
0012-9682
- Publication type
Article
- DOI
10.2307/1911408