Estimation of average local-to-unity roots in heterogenous panels

Erik Hjalmarsson ()
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Erik Hjalmarsson: https://www.gu.se/en/about/find-staff/erikhjalmarsson

No 852, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: 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 procedure. The asymptotic normality of the estimator is proved. The methods proposed in the paper provide a useful way of summarizing the persistence in a panel data set, as well as a complement to more traditional panel unit root tests.

Keywords: Panel analysis; Econometrics - Asymptotic theory (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:852

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