Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.

DOI10.1016/S0304-4076(01)00140-3zbMath1043.62101MaRDI QIDQ1867729

Yanyan Li

Publication date: 2 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

panel data; generalized least squares; instrumental variables; near unit roots

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Related Items

Testing for Panel Unit Roots under General Cross-sectional Dependence, Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals

Cites Work

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