AN EFFICIENT LINEAR GMM ESTIMATOR FOR THE COVARIANCE STATIONARY AR(1)/UNIT ROOT MODEL FOR PANEL DATA

DOI10.1017/S0266466607070235zbMath1274.62601OpenAlexW2128210285MaRDI QIDQ2886957

Hugo Kruiniger

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466607070235

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (2)

GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY ⋮ First difference transformation in panel VAR models: Robustness, estimation, and inference

Cites Work

• Initial conditions and moment restrictions in dynamic panel data models
• Efficient estimation of models for dynamic panel data
• Another look at the instrumental variable estimation of error-components models
• Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
• Projection estimators for autoregressive panel data models
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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