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Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.; Velasco, Carlos - London School of Economics (LSE) - 2015
dynamics, ours nests I(1)I(1) behaviour, but unlike the nonstandard asymptotics in the autoregressive case, estimates of the … hypothesis testing and interval estimation are discussed, with central limit theorems for feasibly bias-corrected estimates …
Persistent link: https://www.econbiz.de/10011171755
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Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.; Velasco, Carlos - London School of Economics (LSE) - 2013
A dynamic panel data model is considered that contains possibly stochastic individual components and a common fractional stochastic time trend. We propose four different ways of coping with the individual effects so as to estimate the fractional parameter. Like models with autoregressive...
Persistent link: https://www.econbiz.de/10011126139