2 papers
econ.EM2024
A Simple Interactive Fixed Effects Estimator for Short Panels
Robert F. Phillips, Benjamin D. Williams
We study the interactive effects (IE) model as an extension of the conventional additive effects (AE) model. For the AE model, the fixed effects estimator can be obtained by applyi…
econ.EM2024
Forward Orthogonal Deviations GMM and the Absence of Large Sample Bias
Robert F. Phillips
It is well known that generalized method of moments (GMM) estimators of dynamic panel data regressions can have significant bias when the number of time periods () is not small…