The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
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Publication:498841
DOI10.1016/J.ECONLET.2014.11.030zbMath1321.62146OpenAlexW2156728491MaRDI QIDQ498841
Chirok Han, Peter C. B. Phillips
Publication date: 29 September 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2014.11.030
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (3)
DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY ⋮ Model selection in the presence of incidental parameters ⋮ First difference or forward demeaning: Implications for the method of moments estimators
Cites Work
- First difference maximum likelihood and dynamic panel estimation
- GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
- Estimation of Dynamic Models with Error Components
- Linear Regression Limit Theory for Nonstationary Panel Data
- GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
- GMM Estimation of Autoregressive Roots Near Unity with Panel Data
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