In this thesis, we present an expanded account of a asymptotic bias in dynamic panel data models based on an article by P.C.B. Phillips and D. Sul (2007). In this thesis some explicit bias equations are given for the regression coefficients of dynamic panel data models as the size of cross section tends to infinity. Also the asymptotic behavior of various estimation methods, such as the ordinary least square and it's generalized in the stationary case are studied. The main contribution in this thesis is to find the analytical expression for various estimates of regression models with fixed individual effects.
