Approximating the bias of the LSDV estimator for dynamic unbalanced panel data models

This paper extends the LSDV bias approximations in [Bun, B. J. G., Kiviet, J. F. 2003. On the diminishing returns of higher order terms in asymptotic expansions of bias. Economic letters, 79, 145-152.] to unbalanced panels. The approximations are obtained by modifying the within operator to accommodate the dynamic selection rule. They are accurate, with higher order terms bringing only decreasing improvements to the approximations. This removes an important cause for limited applicability of bias corrected LSDV estimators.