Dynamic panel regression bias flips autoregressive coefficient, challenges large sample reliability.
The article discusses how bias affects estimates in dynamic panel regression models with various factors like unit roots, trends, and cross section dependence. The researchers found that when fitting linear trends with small time series data, the bias can be significant enough to change the sign of certain coefficients. Additionally, they discovered that when there is cross section error dependence, the estimator's limit becomes a random variable instead of a constant, leading to more variability in estimates.