On the bias of the OLS estimator in a nonstationary dynamic panel data model

DOI10.1016/S0167-7152(97)00165-XzbMath1246.62188MaRDI QIDQ449923

Jean-Yves Pitarakis

Publication date: 2 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

moment generating functionunit roots

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• The limiting distribution of the autocorrelation coefficient under a unit root
• Understanding spurious regressions in econometrics
• The exact moments of the least squares estimator for the autoregressive model
• Exploiting cross-section variation for unit root inference in dynamic data
• Testing for unit roots in heterogeneous panels.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

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