DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY

DOI10.1017/S0266466615000298zbMath1441.62840OpenAlexW2271045739MaRDI QIDQ4637608

Peter C. B. Phillips

Publication date: 25 April 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466615000298

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Related Items (4)

Unit roots test: spatial model with long memory errors ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS ⋮ A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR

Cites Work

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• Statistical Inference in Instrumental Variables Regression with I(1) Processes
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• The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
• Formulation and estimation of dynamic models using panel data
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• Towards a unified asymptotic theory for autoregression
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• Linear Regression Limit Theory for Nonstationary Panel Data
• Time Series Regression with a Unit Root
• X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
• GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large

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