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Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Author

Listed:
  • Michael Binder

    (University of Maryland)

  • Cheng Hsiao

    (University of Southern California)

  • M. Hashem Pesaran

    (University of Cambridge)

Abstract

This paper considers estimation and inference in panel vector autoregressions with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood estimator based on a transformed likelihood function is proposed and shown to be consistent and asymptotically normally distributed irrespective of the unit root and cointegrating properties of the underlying PVAR model.

Suggested Citation

  • Michael Binder & Cheng Hsiao & M. Hashem Pesaran, 2000. "Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration," Working Papers 0005, Banco de España.
    • Handle: RePEc:bde:wpaper:0005
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    sampling; mathematics; models;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods

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