A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE

DOI10.1017/S0266466609090707zbMath1253.62061OpenAlexW2138466020MaRDI QIDQ3181953

Kazuhiko Hayakawa

Publication date: 30 September 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466609090707

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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On the effect of mean-nonstationarity in dynamic panel data models, Improved GMM estimation of panel VAR models, Estimation of heterogeneous panels with structural breaks, Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects, Testing for Trend Specifications in Panel Data Models, On the use of the Helmert transformation, and its applications in panel data econometrics, Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes, The limited information maximum likelihood approach to dynamic panel structural equation models, THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE, Double filter instrumental variable estimation of panel data models with weakly exogenous variables, Multistep forecast selection for panel data, Fixed T dynamic panel data estimators with multifactor errors

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