GMM estimation of autoregressive roots near unity with panel data

Econometrica

Volumn 72, Issue 2, 2004, Pages 467-522

  Moon, Hyungsik Roger ^a   Phillips, Peter C B ^b,c,d  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b YALE UNIVERSITY   (United States)

^c UNIVERSITY OF AUCKLAND   (New Zealand)

^d YORK UNIVERSITY   (Canada)

Author keywords

Bias; Boundary point asymptotics; GMM estimation; Local to unity; Moment conditions; Nuisance parameters; Panel data; Pooled regression; Projected score

Indexed keywords

MATHEMATICAL MODELS; METHOD OF MOMENTS; NUMERICAL METHODS; PARAMETER ESTIMATION;

AUTOREGRESSIVE ROOTS; BOUNDARY POINT ASYMPTOTICS; DYNAMIC PANEL DATA MODELING; ECONOMETRIC;

ECONOMICS;

EID: 1642384325     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2004.00498.x     Document Type: Article

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