Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
From MaRDI portal
Publication:1867729
DOI10.1016/S0304-4076(01)00140-3zbMath1043.62101MaRDI QIDQ1867729
Publication date: 2 April 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (2)
Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals ⋮ Testing for Panel Unit Roots under General Cross-sectional Dependence
Cites Work
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- A note on spectral decomposition and maximum likelihood estimation in ANOVA models with balanced data
- Testing for unit roots in heterogeneous panels.
- Evaluation of the covariance matrix for the maximum likelihood estimator of a Gaussian autoregressive-moving average process
- Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
- Testing the Rank and Definiteness of Estimated Matrices With Applications to Factor, State-Space and ARMA Models
- On the Asymptotic Properties of LDU-Based Tests of the Rank of a Matrix
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- Linear Regression Limit Theory for Nonstationary Panel Data
- Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
- Regression Theory for Near-Integrated Time Series
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
