Efficient inference on fractionally integrated panel data models with fixed effects

Peter M. Robinson and Carlos Velasco

Journal of Econometrics, 2015, vol. 185, issue 2, 435-452

Abstract: A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects so as to estimate the parameters. Like models with autoregressive dynamics, ours nests I(1) behaviour, but unlike the nonstandard asymptotics in the autoregressive case, estimates of the fractional parameter can be asymptotically normal. For three of the estimates, establishing this property is made difficult due to bias caused by the individual effects, or by the consequences of eliminating them, which appears in the central limit theorem except under stringent conditions on the growth of the cross-sectional size N relative to the time series length T, though in case of two estimates these can be relaxed by bias correction, where the biases depend only on the parameters describing autocorrelation. For the fourth estimate, there is no bias problem, and no restrictions on N. Implications for hypothesis testing and interval estimation are discussed, with central limit theorems for feasibly bias-corrected estimates included. A Monte Carlo study of finite-sample performance is included.

Keywords: Panel data; Fractional time series; Estimation; Testing; Bias correction (search for similar items in EconPapers)
JEL-codes: C12 C13 C23 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407614002930
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Efficient inference on fractionally integrated panel data models with fixed effects (2015)
Working Paper: Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects (2013)
Working Paper: Efficient inference on fractionally integrated panel data models with fixed effects (2013)
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:econom:v:185:y:2015:i:2:p:435-452

DOI: 10.1016/j.jeconom.2014.12.003

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().