Time-specific average estimation of dynamic panel regressions.
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ABSTRACT:
SUBMITTER: Chu B
PROVIDER: S-EPMC9578315 | biostudies-literature | 2022 Sep
REPOSITORIES: biostudies-literature
Publications
Time-specific average estimation of dynamic panel regressions.
Studies in nonlinear dynamics and econometrics 20210726 4
This paper introduces an unbiased estimator based on least squares involving time-specific cross-sectional averages for a first-order panel autoregression with a strictly exogenous covariate. The proposed estimator is straightforward to implement as long as the variables of interest have sufficient time variation. The number of cross-sections (<i>N</i>) and the number of time periods (<i>T</i>) can be large, and there is no restriction on the growth rate of <i>N</i> relative to <i>T</i>. It is d ...[more]
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