ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA

Hyungsik Moon () and Peter Phillips

Econometric Theory, 2000, vol. 16, issue 6, 927-997

Abstract: Time series data are often well modeled by using the device of an autoregressive root that is local to unity. Unfortunately, the localizing parameter (c) is not consistently estimable using existing time series econometric techniques and the lack of a consistent estimator complicates inference. This paper develops procedures for the estimation of a common localizing parameter using panel data. Pooling information across individuals in a panel aids the identification and estimation of the localizing parameter and leads to consistent estimation in simple panel models. However, in the important case of models with concomitant deterministic trends, it is shown that pooled panel estimators of the localizing parameter are asymptotically biased. Some techniques are developed to overcome this difficulty, and consistent estimators of c in the region c

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (44)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Estimation of Autoregressive Roots near Unity using Panel Data (1999)
Working Paper: Estimation of Autoregressive Roots Near Unity Using Panel Data (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:16:y:2000:i:06:p:927-997_16

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().