On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root

DOI10.1016/j.econlet.2020.109605zbMath1459.62213OpenAlexW3092586577MaRDI QIDQ2226831

Chirok Han, Sen Xue, Tue Gørgens

Publication date: 9 February 2021

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109605

zbMATH Keywords

fixed effectsdynamic panel data modelsgeneralized method of moments (GMM)nonstandard limiting distributionsquadratic moment restrictions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Efficient estimation of models for dynamic panel data
• Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
• Likelihood-based inference with singular information matrix
• Identification and Lack of Identification
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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