First difference transformation in panel VAR models: robustness, estimation, and inference

DOI10.1080/07474938.2016.1139559zbMATH Open1491.62231OpenAlexW2299309425MaRDI QIDQ5862491FDOQ5862491

Authors: Artūras Juodis 

Publication date: 9 March 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2016.1139559

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zbMATH Keywords

maximum likelihoodMonte Carlo simulationbias correctiondynamic panel datafixed \(T\) consistency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Title not available (Why is that?)
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• First difference maximum likelihood and dynamic panel estimation
• A note on transformed likelihood approach in linear dynamic panel models
• Determinants of block tridiagonal matrices
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• Asymptotic distributions of impulse response functions in short panel vector autoregressions
• Some properties of the LIML estimator in a dynamic panel structural equation
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• On the effect of mean-nonstationarity in dynamic panel data models
• An efficient linear GMM estimator for the covariance stationary AR(1)/unit root model for panel data

Cited In (2)

• Backward mean transformation in unit root panel data models
• Quantifying noise in survey expectations

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