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A1326
Title: Asymptotically unbiased estimation of large dynamic panel models Authors:  Jose Diogo Barbosa - University of Michigan (United States) [presenting]
Abstract: The estimation of a dynamic panel model with fixed effects, time-series heteroskedasticity and exogenous covariates is considered. This model allows natural rotational invariance conditions, such as re-ordering the individuals in the sample. An invariance principle determines a maximal invariant statistic. Its distribution yields an estimator for the structural parameters that is consistent and asymptotically unbiased in the large $N$, fixed $T$ and in the large $N$, large $T$ asymptotics. This method, therefore, solves the incidental-parameter problem created by the presence of fixed effects and time-varying heteroskedasticity even when both $N$ and $T$ are increasing.