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Persistent link: https://www.econbiz.de/10001540251
This paper proposes new GMM estimators for the panel AR(1) model when the ratio of the variance of the individual effects to the variance of the idiosyncratic errors is large. First, we present a necessary condition for large N, fixed T consistency of any Fixed Effects or Random Effects...
Persistent link: https://www.econbiz.de/10012901424