Panel AR(1) estimators under misspecification

Ryo Okui

Economics Letters, 2008, vol. 101, issue 3, 210-213

Abstract: This short note derives the probability limits of several estimators for panel AR(1) models under misspecification using sequential asymptotics. The results show that GMM estimators based on the forward orthogonal deviation transformation converge to the first-order autocorrelation coefficient.

Keywords: Panel; data; GMM; Sequential; asymptotics; Misspecification (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (5)

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