ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA

GMM Estimation of Autoregressive Roots Near Unity with Panel Data

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of Þrm size and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by constructing bias corrections to the ...

Estimation of spatial autoregressive panel data models with fixed effects

This paper establishes asymptotic properties of quasi-maximum likelihood estimators for SAR panel data models with fixed effects and SAR disturbances. A direct approach is to estimate all the parameters including the fixed effects. Because of the incidental parameter problem, some parameter estimatorsmay be inconsistent or their distributions are not properly centered. We propose an alternative...

Estimation of Average Local-to-Unity Roots in Heterogenous Panels

This paper considers the estimation of average autoregressive roots-near-unity in panels where the time-series have heterogenous local-to-unity parameters. The pooled estimator is shown to have a potentially severe bias and a robust median based procedure is proposed instead. This median estimator has a small asymptotic bias that can be eliminated almost completely by a bias correction procedur...

Panel Data estimation using DPD for Ox

Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data

We discuss nonparametric estimation of the distribution function G(x) of the autoregressive coefficient from a panel of N random-coefficient AR(1) data, each of length n, by the empirical distribution of lag 1 sample correlations of individual AR(1) processes. Consistency and asymptotic normality of the empirical distribution function and a class of kernel density estimators is established unde...