On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root

Tue Gørgens, Chirok Han and Sen Xue

Economics Letters, 2020, vol. 197, issue C

Abstract: This paper considers the GMM estimator, αˆ, of the autoregressive parameter in linear dynamic panel data models with fixed effects when the data-generating process has a unit root. Previous literature has established that the limit distribution of n1∕4(αˆ−1) is degenerate and nondegenerate each with probability 1/2. We sharpen this result by showing that the limit distribution of n1∕2(αˆ−1) is nondegenerate when n1∕4(αˆ−1) converges in probability to 0, and we characterize the limit distribution which is nonstandard.

Keywords: Dynamic panel data models; Fixed effects; Generalized method of moments; Quadratic moment restrictions; Nonstandard limiting distributions (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520303657

DOI: 10.1016/j.econlet.2020.109605

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