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Panel AR(1) estimators under misspecification

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  • Okui, Ryo

Abstract

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.

Suggested Citation

  • Okui, Ryo, 2008. "Panel AR(1) estimators under misspecification," Economics Letters, Elsevier, vol. 101(3), pages 210-213, December.
    • Handle: RePEc:eee:ecolet:v:101:y:2008:i:3:p:210-213
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    References listed on IDEAS

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    Cited by:

    1. Ryo Okui, 2017. "Misspecification in Dynamic Panel Data Models and Model-Free Inferences," The Japanese Economic Review, Japanese Economic Association, vol. 68(3), pages 283-304, September.
    2. Okui, Ryo & Yanagi, Takahide, 2019. "Panel data analysis with heterogeneous dynamics," Journal of Econometrics, Elsevier, vol. 212(2), pages 451-475.
    3. Ryo Okui & Takahide Yanagi, 2020. "Kernel estimation for panel data with heterogeneous dynamics," The Econometrics Journal, Royal Economic Society, vol. 23(1), pages 156-175.
    4. Lee, Yoonseok, 2012. "Bias in dynamic panel models under time series misspecification," Journal of Econometrics, Elsevier, vol. 169(1), pages 54-60.

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