Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration
Cheng Hsiao and
M Pesaran ()
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Michael Binder: University of Maryland
No 5, Working Papers from Banco de España, Working Papers Homepage
This paper considers estimation and inference in panel vector autoregressions with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood estimator based on a transformed likelihood function is proposed and shown to be consistent and asymptotically normally distributed irrespective of the unit root and cointegrating properties of the underlying PVAR model.
Keywords: sampling; mathematics; models (search for similar items in EconPapers)
JEL-codes: C15 C42 (search for similar items in EconPapers)
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http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/00/Fic/dt0005e.pdf First version, 2000 (application/pdf)
Journal Article: ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION (2005)
Working Paper: Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration (2001)
Working Paper: Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration (2000)
Working Paper: Estimation and Inference In Short Panel Vector Autoregressions with Unit Roots And Cointegration (2000)
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