Lee, Yoon-Jin; Okui, Ryo; Shintani, Mototsugu - Institute of Economic Research, Kyoto University - 2013
In this paper we consider the estimation of a dynamic panel autoregressive (AR) process of possibly innite order in the presence of individual effects. We utilize the sieve AR approximation with its lag order increasing with the sample size. We establish the consistency and asymptotic normality...