Bootstrap Bias-correction Procedure in Estimating Long-run Relationships from Dynamic Panels , with an Application to Money Demand in the Euro Area

@inproceedings{Focarelli2002BootstrapBP,
  title={Bootstrap Bias-correction Procedure in Estimating Long-run Relationships from Dynamic Panels , with an Application to Money Demand in the Euro Area},
  author={Dario Focarelli},
  year={2002}
}
  • Dario Focarelli
  • Published 2002
In dynamic panel data models, which are particularly well-suited to cross-country analysis, the Mean Group estimator (Pesaran and Smith, 1995) is under certain quite strong conditions consistent, but theoretical and empirical evidence indicates that it can be biased when the number of time observations is small. Possible explanations are sample-size bias and omitted variables or measurement errors that are correlated with the regressors. I find support for both hypotheses using a Monte Carlo… CONTINUE READING
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