Panel AR(1) estimators under misspecification

DOI10.1016/j.econlet.2008.08.009zbMath1255.91366OpenAlexW2050114258MaRDI QIDQ1934932

Ryo Okui

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.08.009

zbMATH Keywords

panel dataGMMmisspecificationsequential asymptotics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Sequential estimation (62L12)

Related Items

Bias in dynamic panel models under time series misspecification

Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Estimating Vector Autoregressions with Panel Data
• Another look at the instrumental variable estimation of error-components models
• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• Biases in Dynamic Models with Fixed Effects
• 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
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Maximum Likelihood Estimation of Misspecified Models