Panel AR(1) estimators under misspecification

DOI10.1016/j.econlet.2008.08.009zbMath1255.91366MaRDI QIDQ1934932

Ryo Okui

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.08.009

zbMATH Keywords

panel data; GMM; misspecification; sequential asymptotics

Mathematics Subject Classification ID

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

91B84: Economic time series analysis

62L12: Sequential estimation

Related Items

Bias in dynamic panel models under time series misspecification

Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
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• Another look at the instrumental variable estimation of error-components models
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• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Maximum Likelihood Estimation of Misspecified Models