On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root

DOI10.1016/j.econlet.2020.109605zbMath1459.62213MaRDI QIDQ2226831

Tue Gørgens, Chirok Han, Sen Xue

Publication date: 9 February 2021

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109605

zbMATH Keywords

fixed effects; dynamic panel data models; generalized method of moments (GMM); nonstandard limiting distributions; quadratic moment restrictions

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62E20: Asymptotic distribution theory in statistics

62M07: Non-Markovian processes: hypothesis testing