Inference on trending panel data

DOI10.1016/J.JECONOM.2018.06.003MaRDI QIDQ1792445zbMATH OpenOpenAlexFDO

Authors Peter M. Robinson, Carlos I. Hoyos Velasco

Publication date 12 October 2018

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

Full work available at URL http://eprints.lse.ac.uk/89192/

zbMATH Keywords

asymptotic normalityconsistencynonparametric cross-sectional correlation and heteroscedasticitynonparametrically time-trending individual effectsparametric fractional dependencesemiparametric panel data modellingspatial model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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• Efficient inference on fractionally integrated panel data models with fixed effects
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Cites work

• Analysis of panel data
• Asymptotic normal tests for integration in panels with cross-dependent units
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• Bias reduction for dynamic nonlinear panel models with fixed effects
• Efficient inference on fractionally integrated panel data models with fixed effects
• Estimation of autoregressive roots near unity using panel data
• Estimation of Dynamic Models with Error Components
• Estimation of fractionally integrated panels with fixed effects and cross-section dependence
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data
• scientific article; zbMATH DE number 5245028 (Why is no real title available?)
• Incidental trends and the power of panel unit root tests
• Nonparametric trending regression with cross-sectional dependence
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Trending time-varying coefficient time series models with serially correlated errors

Cited in

(8)

• Editorial: Advance in theoretical econometrics -- essays in honor of Takeshi Amemiya
• Efficient inference on fractionally integrated panel data models with fixed effects
• Testing for common trends in semi-parametric panel data models with fixed effects
• Panel cointegration with global stochastic trends
• Inference for meta-analysis with a suspected temporal trend
• ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS
• Inference on a semiparametric model with global power law and local nonparametric trends
• Nonparametric trending regression with cross-sectional dependence

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