Inference on trending panel data

DOI10.1016/j.jeconom.2018.06.003zbMath1452.62676OpenAlexW2810215775MaRDI QIDQ1792445

Peter M. Robinson, Carlos Velasco

Publication date: 12 October 2018

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

Full work available at URL: http://eprints.lse.ac.uk/89192/

zbMATH Keywords

consistencyasymptotic normalityspatial modelnonparametric cross-sectional correlation and heteroscedasticitynonparametrically time-trending individual effectsparametric fractional dependencesemiparametric panel data modelling

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Editorial: Advance in theoretical econometrics -- essays in honor of Takeshi Amemiya ⋮ ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS

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