GMM Estimation of Autoregressive Roots Near Unity with Panel Data

DOI10.1111/J.1468-0262.2004.00498.XMaRDI QIDQ5473019zbMATH OpenOpenAlexFDO

Authors Hyungsik Roger Moon, Peter C. B. Phillips

Publication date 19 June 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://fmwww.bc.edu/RePEc/es2000/0913.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(19)

• Inference on trending panel data
• On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root
• Testing for a unit root in panels with dynamic factors
• The factor analytical approach in near unit root interactive effects panels
• Estimation of autoregressive roots near unity using panel data
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• Peter C. B. Phillips's contributions to panel data methods
• An efficient linear GMM estimator for the covariance stationary AR(1)/unit root model for panel data
• Incidental trends and the power of panel unit root tests
• Bias reduction for dynamic nonlinear panel models with fixed effects
• ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
• Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
• Dynamic panel Anderson-Hsiao estimation with roots near unity
• Bootstrap inference for linear dynamic panel data models with individual fixed effects
• The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
• Lessons from a decade of IPS and LLC
• The factor analytical approach in trending near unit root panels
• GMM estimation for dynamic panels with fixed effects and strong instruments at unity
• A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR

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