Biases in Dynamic Models with Fixed Effects¶
Nickell, S. (1981). Biases in Dynamic Models with Fixed Effects. Econometrica, 49(6), 1417-1426.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Mechanisms¶
- Fixed-Effects Panel Model
- A subtler trap is including a lagged dependent variable: combined with unit fixed effects this induces Nickell bias, a systematic distortion that shrinks with the number of periods but never vanishes in short panels.
This sourceDerives finite-period bias for dynamic fixed-effects estimators and shows its persistence in short panels.
- A subtler trap is including a lagged dependent variable: combined with unit fixed effects this induces Nickell bias, a systematic distortion that shrinks with the number of periods but never vanishes in short panels.
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Registry ID ref:6baed38bf268 · see in the full table