Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes

DOI10.1016/j.jeconom.2017.04.005zbMath1452.62656OpenAlexW3121657616MaRDI QIDQ1753051

Yoon-Jin Lee, Mototsugu Shintani, Ryo Okui

Publication date: 25 May 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.04.005

zbMATH Keywords

bias correctiondouble asymptoticsfixed effects estimatorautoregressive sieve estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Testing for Trend Specifications in Panel Data Models ⋮ Panel data analysis with heterogeneous dynamics ⋮ Determining individual or time effects in panel data models ⋮ Double filter instrumental variable estimation of panel data models with weakly exogenous variables

Cites Work

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• Prediction of multivariate time series by autoregressive model fitting
• Consistent autoregressive spectral estimates
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• Biases in Dynamic Models with Fixed Effects
• Asymptotic inference in stationary Gaussian time-series
• Linear Regression Limit Theory for Nonstationary Panel Data
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
• Estimation of impulse response functions using long autoregression
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
• Consistent Estimates Based on Partially Consistent Observations
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