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 , Economics Letters 84(1) , 117-125 , July 2004.

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.

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