On the bias of the OLS estimator in a nonstationary dynamic panel data model

DOI10.1016/S0167-7152(97)00165-XzbMATH Open1246.62188MaRDI QIDQ449923FDOQ449923

Authors: Jean-Yves Pitarakis 

Publication date: 2 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

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zbMATH Keywords

unit rootsmoment generating function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Testing for unit roots in heterogeneous panels.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The exact moments of the least squares estimator for the autoregressive model
• Title not available (Why is that?)
• The limiting distribution of the autocorrelation coefficient under a unit root
• Understanding spurious regressions in econometrics
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• Exploiting cross-section variation for unit root inference in dynamic data

Cited In (4)

• Title not available (Why is that?)
• Title not available (Why is that?)
• On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors
• Exogenous variables and asymptotic bias in dynamic models with autocorrelated errors: a note

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