EconPapers    
Economics at your fingertips  
 

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

Michael Binder, Cheng Hsiao and M Pesaran ()
Additional contact information
Michael Binder: University of Maryland

No 5, Working Papers from Banco de España, Working Papers Homepage

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)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
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) Downloads
Working Paper: Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration (2001) Downloads
Working Paper: Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration (2000) Downloads
Working Paper: Estimation and Inference In Short Panel Vector Autoregressions with Unit Roots And Cointegration (2000) Downloads
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:bde:wpaper:0005

Access Statistics for this paper

More papers in Working Papers from Banco de España, Working Papers Homepage Contact information at EDIRC.
Bibliographic data for series maintained by María Beiro. Electronic Dissemination of Information Unit. Research Department. Banco de España ().

 
Page updated 2019-09-21
Handle: RePEc:bde:wpaper:0005