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re: Antwort: re: Antwort: re: st: xtreg xtregar
From
Christopher Baum <[email protected]>
To
<[email protected]>
Subject
re: Antwort: re: Antwort: re: st: xtreg xtregar
Date
Tue, 4 Jan 2011 15:53:06 -0500
<>
For the simplest model (an AR(1) in y_t), the Nickell bias is of the order - (1+\rho) / (T-1), where \rho is the coefficient on the LDV and T is the number of timeseries observations.
If the true \rho is 0.5, and T=10 (a long panel by DPD standards!) the bias is -0.167, or 33% of the true coefficient, so that its estimate is seriously attenuated.
The inclusion of additional regressors does not remove this bias; indeed, if the regressors are correlated with the lagged dependent variable to some degree, their coefficients may be seriously biased as well.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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