ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
From MaRDI portal
Publication:3377454
Recommendations
- Improved GMM estimation of panel VAR models
- Inference for unit roots in dynamic panels where the time dimension is fixed
- Nonstationary panels, panel cointegration, and dynamic panels
- Panel vector autoregression under cross-sectional dependence
- GMM estimation for dynamic panels with fixed effects and strong instruments at unity
Cites work
- Another look at the instrumental variable estimation of error-components models
- Biases in Dynamic Models with Fixed Effects
- Consistent Estimates Based on Partially Consistent Observations
- Determining the Number of Factors in Approximate Factor Models
- Dynamic panel estimation and homogeneity testing under cross section dependence
- Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
- Efficient estimation of models for dynamic panel data
- Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
- Estimating Vector Autoregressions with Panel Data
- Estimation of Dynamic Models with Error Components
- Formulation and estimation of dynamic models using panel data
- GMM estimation with cross sectional dependence
- How informative is the initial condition in the dynamic panel model with fixed effects?
- Inference for unit roots in dynamic panels where the time dimension is fixed
- Initial conditions and moment restrictions in dynamic panel data models
- LONG-RUN STRUCTURAL MODELLING
- Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
- Nonstationary panel data analysis: an overview of some recent developments
- On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
- On IV, GMM and ML in a dynamic panel data model
- Optimal Inference in Cointegrated Systems
- Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Testing for a unit root in panels with dynamic factors
- Testing for unit roots in heterogeneous panels.
- Unit root tests in panel data: asymptotic and finite-sample properties
Cited in
(26)- Measuring dynamic efficiency: theories and an integrated methodology
- Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels
- Improved GMM estimation of panel VAR models
- Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
- QML estimation of dynamic panel data models with spatial errors
- Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
- Panel data analysis -- advantages and challenges (with comments and rejoinder)
- Forecasting and turning point predictions in a Bayesian panel VAR model
- Unit root tests for panel data with AR(1) errors and small T
- Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
- Panel vector autoregression under cross-sectional dependence
- Challenges for panel financial analysis
- A review of dynamic data envelopment analysis: state of the art and applications
- Orthogonal Parameters and Panel Data
- IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large
- Quasi maximum likelihood estimation of dynamic panel data models
- A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
- Parameter estimation and inference with spatial lags and cointegration
- First difference transformation in panel VAR models: robustness, estimation, and inference
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
- Asymptotic distributions of impulse response functions in short panel vector autoregressions
- Estimating Vector Autoregressions with Panel Data
- A note on parameter estimation of panel vector autoregressive models with intercorrelation
- Statistical inference for panel dynamic simultaneous equations models
- Patent propensity, R\&D and market competition: dynamic spillovers of innovation leaders and followers
- Estimation of dynamic panel data models with both individual and time-specific effects
This page was built for publication: ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3377454)
