From various sources and reading, I get to know that, the Nickell Bias associated with employing fixed effects with a lagged dependent variable is small when T is large. I understand the notions intuitively, but I am unable to comprehend the underlying mathematical consistency. I would appreciate it if someone could explain the same to me. Thanks!
Asked
Active
Viewed 217 times
0
-
Please edit the question to limit it to a specific problem with enough detail to identify an adequate answer. – Community Mar 16 '23 at 17:05
-
See https://stats.stackexchange.com/questions/196578/difference-of-dynamic-panel-nickell-bias-and-the-incidental-parameter-probl/196674#196674 for a little detail. Also there's a reference to the original paper, which is quite clear. – Christoph Hanck Mar 17 '23 at 07:10