{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,28]],"date-time":"2026-10-28T23:58:10Z","timestamp":1793231890369,"version":"4.5.0"},"reference-count":44,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2015,12,10]],"date-time":"2015-12-10T00:00:00Z","timestamp":1449705600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2017,2]]},"abstract":"<jats:p>\n                    We analyze linear panel regression models with interactive fixed effects and predetermined regressors, for example lagged-dependent variables. The first-order asymptotic theory of the least squares (LS) estimator of the regression coefficients is worked out in the limit where both the cross-sectional dimension and the number of time periods become large. We find two sources of asymptotic bias of the LS estimator: bias due to correlation or heteroscedasticity of the idiosyncratic error term, and bias due to predetermined (as opposed to strictly exogenous) regressors. We provide a bias-corrected LS estimator. We also present bias-corrected versions of the three classical test statistics (Wald, LR, and LM test) and show their asymptotic distribution is a \u03c7\n                    <jats:sup>2<\/jats:sup>\n                    -distribution. Monte Carlo simulations show the bias correction of the LS estimator and of the test statistics also work well for finite sample sizes.\n                  <\/jats:p>","DOI":"10.1017\/s0266466615000328","type":"journal-article","created":{"date-parts":[[2015,12,10]],"date-time":"2015-12-10T05:50:08Z","timestamp":1449726608000},"page":"158-195","source":"Crossref","is-referenced-by-count":156,"title":["DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS"],"prefix":"10.1017","volume":"33","author":[{"given":"Hyungsik Roger","family":"Moon","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Martin","family":"Weidner","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2015,12,10]]},"reference":[{"key":"S0266466615000328_ref42","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/0047-259X(89)90084-5","article-title":"On the eigenvectors of large dimensional sample covariance matrices","volume":"30","author":"Silverstein","year":"1989","journal-title":"J. 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