Half‐panel jackknife fixed‐effects estimation of linear panels with weakly exogenous regressors
含弱外生解释变量的线性面板:半面板 jackknife 固定效应估计
Summary This paper considers estimation and inference in linear panel regression models with lagged dependent variables and/or other weakly exogenous regressors when N (the cross‐section dimension) is large relative to T (the time series dimension). It allows for fixed and time effects (FE‐TE) and derives a general formula for the bias of the FE‐TE estimator which generalizes the well‐known Nickell bias formula derived for the pure autoregressive dynamic panel data models.…