Backward mean transformation in unit root panel data models

DOI10.1016/j.econlet.2021.109780zbMath1462.62078OpenAlexW3128152024MaRDI QIDQ2660023

Rutger W. Poldermans, Artūras Juodis

Publication date: 29 March 2021

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109780

zbMATH Keywords

unit rootdynamic panel databackward filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: hypothesis testing (62M07) Causal inference from observational studies (62D20)

Cites Work

• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
• Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• The effect of recursive detrending on panel unit root tests
• Biases in Dynamic Models with Fixed Effects
• On the Pooling of Time Series and Cross Section Data
• Linear Regression Limit Theory for Nonstationary Panel Data
• Orthogonal to backward mean transformation for dynamic panel data models
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• First difference transformation in panel VAR models: Robustness, estimation, and inference

This page was built for publication: Backward mean transformation in unit root panel data models