Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large

DOI10.1111/1468-0262.00344MaRDI QIDQ5475003zbMATH OpenOpenAlexFDO

Authors Jinyong Hahn, Guido Kuersteiner

Publication date 16 June 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1468-0262.00344

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)

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• Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
• Immigration and public finances in OECD countries
• Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
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• Estimation of random coefficients logit demand models with interactive fixed effects
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• Analysis of interactive fixed effects dynamic linear panel regression with measurement error
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• Asymptotic distribution of misspecified random effects estimator for a dynamic panel model with fixed effects when both n and T are large
• Bias-corrected estimation in dynamic panel data models with heteroscedasticity
• Explaining the single factor bias of arbitrage pricing models in finite samples
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• Evaluating panel data forecasts under independent realization
• Integrated likelihood based inference for nonlinear panel data models with unobserved effects
• Inference without smoothing for large panels with cross-sectional and temporal dependence
• Dynamic spatial panel data models with common shocks
• On CUSUM test for dynamic panel models
• Robust likelihood estimation of dynamic panel data models
• On the semi-varying coefficient dynamic panel data model with autocorrelated errors
• First difference estimation of spatial dynamic panel data models with fixed effects
• Spatial dynamic models with intertemporal optimization: specification and estimation
• On the unbiased asymptotic normality of quantile regression with fixed effects
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• Second-order corrected likelihood for nonlinear panel models with fixed effects
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• Peter C. B. Phillips's contributions to panel data methods
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• Testing slope homogeneity in large panels
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• Difference in difference meets generalized least squares: higher order properties of hypotheses tests
• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
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• Likelihood inference in an autoregression with fixed effects
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• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
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• The Third-Order Bias of Nonlinear Estimators
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• Dynamic panel estimation and homogeneity testing under cross section dependence
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
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• Jive for panel dynamic simultaneous equations models
• Challenges for panel financial analysis
• Dynamic panel Anderson-Hsiao estimation with roots near unity
• TIME-INVARIANT REGRESSOR IN NONLINEAR PANEL MODEL WITH FIXED EFFECTS
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• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
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• Editorial: High dimensional problems in econometrics
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• Asymptotically efficient model selection for panel data forecasting
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• Inference and testing breaks in large dynamic panels with strong cross sectional dependence
• A robust test for serial correlation in panel data models
• Lessons from a decade of IPS and LLC
• The factor analytical approach in trending near unit root panels
• Difference-in-difference estimation by FE and OLS when there is panel non-response
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• The asymptotic properties of the system GMM estimator in dynamic panel data models when both N and T are large
• Bias in dynamic panel models under time series misspecification
• A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
• Likelihood ratio tests for a unit root in panels with random effects
• Indirect inference for dynamic panel models
• Multistep prediction of panel vector autoregressive processes
• AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
• Double filter instrumental variable estimation of panel data models with weakly exogenous variables
• Multistep forecast selection for panel data
• Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation

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