Estimation of autoregressive roots near unity using panel data

DOI10.1017/S026646660016606XMaRDI QIDQ2716478zbMATH OpenOpenAlexFDO

Authors Hyungsik Roger Moon, Peter C. B. Phillips

Publication date 16 May 2001

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s026646660016606x, http://hdl.handle.net/2292/5214

Mathematics Subject Classification ID

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

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Cited in

(35)

• Nonlinear instrumental variable estimation of an autoregression.
• Improved GMM estimation of panel VAR models
• Inference on trending panel data
• Panel stationary tests against changes in persistence
• Asymptotic inference for \(\mathrm{AR}(1)\) panel data
• Lag truncation and the local asymptotic distribution of the ADF test for a unit root
• Efficient inference on fractionally integrated panel data models with fixed effects
• The effect of recursive detrending on panel unit root tests
• New tools for understanding the local asymptotic power of panel unit root tests
• Testing for a unit root in panels with dynamic factors
• The factor analytical approach in near unit root interactive effects panels
• Backward mean transformation in unit root panel data models
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• Statistical inference in a random coefficient panel model
• Peter C. B. Phillips's contributions to panel data methods
• Panel cointegration with global stochastic trends
• Asymptotic confidence intervals for impulse responses of near‐integrated processes
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• On modeling panels of time series
• Unit root and cointegrating limit theory when initialization is in the infinite past
• Projection estimators for autoregressive panel data models
• Dynamic panel Anderson-Hsiao estimation with roots near unity
• Estimation of unit root spatial dynamic panel data models
• Generalized local-to-unity models
• Proper fund size: a perspective from both investors and fund managers
• Asymptotic theory for a stochastic unit root model
• The factor analytical approach in trending near unit root panels
• Estimating long memory in panel random-coefficient AR(1) data
• On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
• GMM estimation and inference in dynamic panel data models with persistent data
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data
• Double filter instrumental variable estimation of panel data models with weakly exogenous variables
• Pooled panel unit root tests and the effect of past initialization
• A reexamination of stock return predictability
• A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR

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