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 0.1861 -0.4968 -0.3323 -0.1002 0.0309 -0.9305 -0.7057 -0.2750 (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.