Efficient inference on fractionally integrated panel data models with fixed effects

DOI10.1016/j.jeconom.2014.12.003zbMath1332.62343OpenAlexW2106275236MaRDI QIDQ2343820

Carlos Velasco, Peter M. Robinson

Publication date: 6 May 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.12.003

zbMATH Keywords

estimationtestingpanel databias correctionfractional time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (5)

Parametric estimation of long memory in factor models ⋮ Estimation of fractionally integrated panels with fixed effects and cross-section dependence ⋮ Inference on trending panel data ⋮ ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS ⋮ Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects

Cites Work

• Unnamed Item
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• Estimation of fractionally integrated panels with fixed effects and cross-section dependence
• Nonparametric trending regression with cross-sectional dependence
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Asymptotic normal tests for integration in panels with cross-dependent units
• Analysis of Panel Data
• Efficient Tests of Nonstationary Hypotheses
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
• Martingale Central Limit Theorems
• An exponential model for the spectrum of a scalar time series

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