Conventional OLS fixed-effects and GLS random-effects estimators of dynamic models that control for individual-effects are known to be biased when applied to short panel data (T <= 10). GMM estimators
The recent literature on rational expectations in macroeconomic theory is surveyed here with the objective of distilling from the various papers useful suggestions for econometric methodology. The pap
In this article, we propose methods to construct confidence intervals for the bias of the two-stage least squares estimator, and the size distortion of the associated Wald test in instrumental variabl
