A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections

DOI10.1016/S0304-4076(00)00024-5zbMath0957.62075OpenAlexW2136504652MaRDI QIDQ1586555

Sourafel Girma

Publication date: 29 March 2001

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00024-5

zbMATH Keywords

asymptotic normalitygeneralized method of momentsMonte Carlo simulationspanel dataGMMtime series of cross sectionsdifferencing

Mathematics Subject Classification ID

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

Related Items

Efficient estimation and inference in linear pseudo-panel data models ⋮ Unbalanced panel data: a survey ⋮ Estimating dynamic models from repeated cross-sections

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