Asymptotic Distribution of Misspecified Random Effects Estimator for a Dynamic Panel Model with Fixed Effects When Both n and T are Large
Jinyong Hahn, Guido Kuersteiner, and Myeong Hyeon Cho
,
1
(
84
)
Economics Letters
117-125
July
2004
REpanel-v2.pdf116.3 KB
Abstract
We consider a dynamic panel AR(1) model with fixed effects when both n and T are large. It is shown that the MLE motivated by the random effects assumption is asymptotically unbiased even when the assumption is violated.
