Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes

DOI10.1016/j.jeconom.2017.04.005zbMath1452.62656MaRDI QIDQ1753051

Yoon-Jin Lee, Mototsugu Shintani, Ryo Okui

Publication date: 25 May 2018

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.04.005

zbMATH Keywords

bias correction; double asymptotics; fixed effects estimator; autoregressive sieve estimation

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

Related Items

Double filter instrumental variable estimation of panel data models with weakly exogenous variables, Testing for Trend Specifications in Panel Data Models, Panel data analysis with heterogeneous dynamics, Determining individual or time effects in panel data models

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