Estimation of Autoregressive Roots Near Unity Using Panel Data

Hyungsik Moon () and Peter Phillips

No 1224, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Time series data are often well modelled by using the device of an autoregressive root that is local to unity. Unfortunately, the localizing parameter (c) is not consistently estimable using existing time series econometric techniques and the lack of a consistent estimator complicates inference. This paper develops procedures for the estimation of a common localizing parameter using panel data. Pooling information across individuals in a panel aids the identification and estimation of the localising parameter and leads to consistent estimation in simple panel models. However, in the important case of models with concomitant deterministic trends, it is shown that pooled panel estimators of the localising parameter are asymptotically biased. Some techniques are developed to overcome this difficulty and consistent estimators of c in the region c

Keywords: Bias; local to unity; panel data; pooled regression; subgroup testing (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
Pages: 63 pages
Date: 1999-06
Note: CFP 1018.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Published in Econometric Theory (2000), 16(6): 927-997

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Related works:
Journal Article: ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA (2000)
Working Paper: Estimation of Autoregressive Roots near Unity using Panel Data (1999)
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