X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION

DOI10.1017/S0266466613000170zbMath1329.62379OpenAlexW3123462262MaRDI QIDQ4979939

Peter C. B. Phillips, Donggyu Sul, Chirok Han

Publication date: 20 June 2014

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

Full work available at URL: https://doi.org/10.1017/s0266466613000170

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items

Estimation and identification of latent group structures in panel data, Robust estimation and moment selection in dynamic fixed-effects panel data models, DIFFERENCING TRANSFORMATIONS AND INFERENCE IN PREDICTIVE REGRESSION MODELS, Median-based estimation of dynamic panel models with fixed effects, The factor analytical approach in near unit root interactive effects panels, Time-specific average estimation of dynamic panel regressions, First difference maximum likelihood and dynamic panel estimation, Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels, DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY, Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes, Variable selection in panel models with breaks, THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE, Lag length selection in panel autoregression, An augmented Anderson–Hsiao estimator for dynamic short-T panels^†, Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity

Cites Work

• Unnamed Item
• Initial conditions and moment restrictions in dynamic panel data models
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Efficient estimation of models for dynamic panel data
• Another look at the instrumental variable estimation of error-components models
• Limit theory for moderate deviations from a unit root
• Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• Indirect inference for dynamic panel models
• Order estimation in ARMA-models by Lagrangian multiplier tests
• Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance
• Formulation and estimation of dynamic models using panel data
• Asymptotics for linear processes
• How informative is the initial condition in the dynamic panel model with fixed effects?
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• Partial GLS regression
• First difference maximum likelihood and dynamic panel estimation
• Folklore Theorems, Implicit Maps, and Indirect Inference
• UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
• UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST
• Model selection by multiple test procedures
• Biases in Dynamic Models with Fixed Effects
• Serial Correlation and the Fixed Effects Model
• Linear Regression Limit Theory for Nonstationary Panel Data
• Time Series Regression with a Unit Root
• GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
• GMM with Many Moment Conditions
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• First Order Autoregression: Inference, Estimation, and Prediction
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations