The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression

DOI10.1016/J.ECONLET.2014.11.030MaRDI QIDQ498841zbMATH OpenOpenAlexFDO

Authors Chirok Han, Peter C. B. Phillips

Publication date 29 September 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.11.030

zbMATH Keywords

dynamic panelIV estimationlevels and difference instruments

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• A note on the Anderson-Hsiao estimator for panel data
• Dynamic panel Anderson-Hsiao estimation with roots near unity
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• INSTRUMENTAL VARIABLES ESTIMATION WITH PANEL DATA
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

Cites work

• Estimation of Dynamic Models with Error Components
• First difference maximum likelihood and dynamic panel estimation
• GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
• GMM estimation for dynamic panels with fixed effects and strong instruments at unity
• GMM Estimation of Autoregressive Roots Near Unity with Panel Data
• Linear Regression Limit Theory for Nonstationary Panel Data

Cited in

(5)

• A note on the Anderson-Hsiao estimator for panel data
• Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
• Model selection in the presence of incidental parameters
• Dynamic panel Anderson-Hsiao estimation with roots near unity
• First difference or forward demeaning: Implications for the method of moments estimators

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