Asymptotic consequences of neglected dynamics in individual effects models*

DOI10.1111/J.1467-9574.1994.TB01432.XMaRDI QIDQ4850099zbMATH OpenOpenAlexFDO

Authors I. T. van Den Doel, Jan F. Kiviet

Publication date 28 November 1995

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9574.1994.tb01432.x

zbMATH Keywords

asymptotic inferenceautocorrelationdynamic specificationexogenous variablelong-run effectmisspecification analysispanel datarandom walkstatic modelsstationary process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• Convergence of the static estimation toward the long run effects of dynamic panel data models
• Estimating Long and Short Run Effects in Static Panel Models
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Cites work

• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• scientific article; zbMATH DE number 3984433 (Why is no real title available?)
• Neglected dynamics in panel data models; consequences and detection in finite samples*
• The Interpretation of Cross Section Estimates in a Dynamic Model

Cited in

(5)

• Convergence of the static estimation toward the long run effects of dynamic panel data models
• Misspecified heterogeneity in panel data models
• Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
• Neglected heterogeneity in moment condition models
• Estimating Long and Short Run Effects in Static Panel Models

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