Estimation of Autoregressive Roots Near Unity Using Panel Data
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- Moon, Hyungsik R. & Phillips, Peter C.B., 2000. "Estimation Of Autoregressive Roots Near Unity Using Panel Data," Econometric Theory, Cambridge University Press, vol. 16(6), pages 927-997, December.
- Moon, Hyungsik R. & Phillips, Peter C.B., 1999. "Estimation of Autoregressive Roots near Unity using Panel Data," University of California at Santa Barbara, Economics Working Paper Series qt7fd8x80m, Department of Economics, UC Santa Barbara.
References listed on IDEAS
- Moon, Hyungsik R. & Phillips, Peter C.B., 2000.
"Estimation Of Autoregressive Roots Near Unity Using Panel Data,"
Econometric Theory, Cambridge University Press, vol. 16(6), pages 927-997, December.
- Moon, Hyungsik R. & Phillips, Peter C.B., 1999. "Estimation of Autoregressive Roots near Unity using Panel Data," University of California at Santa Barbara, Economics Working Paper Series qt7fd8x80m, Department of Economics, UC Santa Barbara.
- Hyungsik R. Moon & Peter C.B. Phillips, 1999. "Estimation of Autoregressive Roots Near Unity Using Panel Data," Cowles Foundation Discussion Papers 1224, Cowles Foundation for Research in Economics, Yale University.
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"How To Estimate Autoregressive Roots Near Unity,"
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More about this item
Keywords
Bias; local to unity; panel data; pooled regression; subgroup testing;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-1999-06-08 (Econometrics)
- NEP-ETS-1999-06-08 (Econometric Time Series)
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