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

DOI10.1080/07474938.2016.1139559MaRDI QIDQ5862491zbMATH OpenOpenAlexFDO

Authors Artūras Juodis

Publication date 9 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 5071101 (Why is no real title available?)
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Cited in

(2)

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

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