Naguib, Costanza (2022). Analytical bias correction for two-step fixed effects models with copula-distributed errors. Economics letters, 215(110498), p. 110498. Elsevier 10.1016/j.econlet.2022.110498
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We derive an analytical bias correction for two-step fixed effects models with copula-distributed errors. We work out the approximate bias correction for the Gaussian copula and present a numerical computation exercise for three other copula families. The results are derived for both n and T large.
Item Type: |
Journal Article (Original Article) |
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Division/Institute: |
03 Faculty of Business, Economics and Social Sciences > Department of Economics |
UniBE Contributor: |
Naguib, Costanza |
Subjects: |
300 Social sciences, sociology & anthropology > 330 Economics |
ISSN: |
0165-1765 |
Publisher: |
Elsevier |
Submitter: |
Dino Collalti |
Date Deposited: |
19 Oct 2022 14:33 |
Last Modified: |
05 Dec 2022 16:26 |
Publisher DOI: |
10.1016/j.econlet.2022.110498 |
BORIS DOI: |
10.48350/173876 |
URI: |
https://boris.unibe.ch/id/eprint/173876 |
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