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X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION (Q4979939)

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scientific article; zbMATH DE number 6305654

Language	Label	Description	Also known as
English	X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION	scientific article; zbMATH DE number 6305654

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scholarly article

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X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION (English)

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Peter C. B. Phillips

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Econometric Theory

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publication date

20 June 2014

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MaRDI profile type

MaRDI publication profile

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Time Series Regression with a Unit Root

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First Order Autoregression: Inference, Estimation, and Prediction

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Model selection by multiple test procedures

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Another look at the instrumental variable estimation of error-components models

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Biases in Dynamic Models with Fixed Effects

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Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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Formulation and estimation of dynamic models using panel data

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Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model

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The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

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On bias, inconsistency, and efficiency of various estimators in dynamic panel data models

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Efficient estimation of models for dynamic panel data

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Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance

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Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods

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Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large

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First difference maximum likelihood and dynamic panel estimation

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UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION

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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

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GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY

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GMM with Many Moment Conditions

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Partial GLS regression

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Order estimation in ARMA-models by Lagrangian multiplier tests

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

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Asymptotics for linear processes

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Long difference instrumental variables estimation for dynamic panel models with fixed effects

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How informative is the initial condition in the dynamic panel model with fixed effects?

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Linear Regression Limit Theory for Nonstationary Panel Data

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Indirect inference for dynamic panel models

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UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST

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Limit theory for moderate deviations from a unit root

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Initial conditions and moment restrictions in dynamic panel data models

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Serial Correlation and the Fixed Effects Model

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Folklore Theorems, Implicit Maps, and Indirect Inference

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full work available at URL

https://doi.org/10.1017/s0266466613000170

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Identifiers

zbMATH Open document ID

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10.1017/S0266466613000170

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:4979939

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