GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
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Publication:5187624
DOI10.1017/S026646660909063XzbMath1181.62193MaRDI QIDQ5187624
Peter C. B. Phillips, Chirok Han
Publication date: 26 February 2010
Published in: Econometric Theory (Search for Journal in Brave)
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
Related Items
X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION, THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE, Minimum distance estimation of the errors-in-variables model using linear cumulant equations, The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression, Efficient inference on fractionally integrated panel data models with fixed effects, Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity, Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends, Gaussian inference in general AR(1) models based on difference, PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS, UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
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