Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration.

This paper considers estimation and inference in panel vector autoregressions with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood estimator based on a transformed likelihood function is proposed and shown to be consistent ans asymptotically normally distributed irrespective of the unit root and cointegrating properties of the underlying PVAR model.

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Year of publication:	2000
Authors:	Binder, M. ; Hsiao, C. ; Pesaran, M.H.
Subject:	SAMPLING \| MATHEMATICS \| MODELS

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Type of publication:	Book / Working Paper
Notes:	69 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C42 - Survey Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005618398