Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model

DOI10.1016/j.jeconom.2008.03.001zbMath1419.62513OpenAlexW1991825561MaRDI QIDQ295407

Hugo Kruiniger

Publication date: 13 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.03.001

zbMATH Keywords

maximum likelihoodunit root testdynamic panel data modelsefficiency boundsmulti-index asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (15)

Lessons from a Decade of IPS and LLC ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ Backward mean transformation in unit root panel data models ⋮ A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model ⋮ Likelihood approach to dynamic panel models with interactive effects ⋮ First difference maximum likelihood and dynamic panel estimation ⋮ GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA ⋮ Local Power of Fixed-T  Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends ⋮ Corrigendum to ``Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model ⋮ A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors ⋮ Unit root test for short panels with serially correlated errors ⋮ X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION ⋮ First difference transformation in panel VAR models: Robustness, estimation, and inference ⋮ Local power of panel unit root tests allowing for structural breaks ⋮ Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity

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