Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

re: Antwort: re: st: xtreg xtregar

From   Christopher Baum <[email protected]>
To   <[email protected]>
Subject   re: Antwort: re: st: xtreg xtregar
Date   Tue, 4 Jan 2011 15:29:06 -0500

"the size of the Nickell-bias depends on both T and N. There are cases where
the bias is negligeably small."

There may be such cases, but a panel with 3-5 years of data per unit is about the worst case imaginable. My class notes include

 "Nickell demonstrates that the inconsistency of \hat{\rho} as n → ∞ is of order 1/T,
which may be quite sizable in a “small T” context. "  

If I received a paper to review in which the author ignored Nickell bias without a convincing argument that it was indeed negligible in his/her context, I would be inclined to reject the paper.


Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index