Panel AR(1) estimators under misspecification
This short note derives the probability limits of several estimators for panel AR(1) models under misspecification using sequential asymptotics. The results show that GMM estimators based on the forward orthogonal deviation transformation converge to the first-order autocorrelation coefficient.
Year of publication: |
2008
|
---|---|
Authors: | Okui, Ryo |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 101.2008, 3, p. 210-213
|
Publisher: |
Elsevier |
Keywords: | Panel data GMM Sequential asymptotics Misspecification |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Testing for overconfidence statistically : A moment inequality approach
Jin, Yanchun, (2020)
-
Okui, Ryo, (2005)
-
Doubly robust uniform confidence band for the conditional average treatment effect function
Lee, Sokbae, (2016)
- More ...