Backward mean transformation in unit root panel data models

Artūras Juodis and Rutger W. Poldermans

Economics Letters, 2021, vol. 201, issue C

Abstract: The effectiveness of an orthogonal to backward mean transformation is investigated in the context of a non-stationary panel data model. It is shown that the corresponding estimator is as efficient as Transformed Maximum Likelihood when the autoregressive parameter is equal to unity. Furthermore, a recently introduced bias-corrected version is almost as efficient as the Pooled Least Squares estimator.

Keywords: Dynamic panel data; Unit root; Backward filtering (search for similar items in EconPapers)
JEL-codes: C12 C13 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176521000574
Full text for ScienceDirect subscribers only

Related works:
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:eee:ecolet:v:201:y:2021:i:c:s0165176521000574

DOI: 10.1016/j.econlet.2021.109780

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().