GMM Estimation of Autoregressive Roots Near Unity with Panel Data

DOI10.1111/j.1468-0262.2004.00498.xzbMath1131.62319OpenAlexW2100820864MaRDI QIDQ5473019

Hyungsik Roger Moon, Peter C. B. Phillips

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://fmwww.bc.edu/RePEc/es2000/0913.pdf

Mathematics Subject Classification ID

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

Related Items (15)

Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence ⋮ Incidental trends and the power of panel unit root tests ⋮ Lessons from a Decade of IPS and LLC ⋮ The factor analytical approach in near unit root interactive effects panels ⋮ The factor analytical approach in trending near unit root panels ⋮ Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects ⋮ A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR ⋮ Testing for a unit root in panels with dynamic factors ⋮ DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY ⋮ Bootstrap inference for linear dynamic panel data models with individual fixed effects ⋮ The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression ⋮ Inference on trending panel data ⋮ BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS ⋮ ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER ⋮ PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS

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