Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Michael Binder, Cheng Hsiao and Mohammad Pesaran
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Michael Binder: University of Maryland

No 5, Working Papers from Banco de España

Abstract: 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)
Pages: 68 pages
Date: 2000
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Citations: View citations in EconPapers (12)

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http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/00/Fic/dt0005e.pdf First version, 2000 (application/pdf)

Related works:
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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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0005

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