The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
J. Alvarez and
Manuel Arellano
Working Papers from Centro de Estudios Monetarios Y Financieros-
Abstract:
In this paper we derive the asymptotic properties of within groups (WG), GMM and LIML estimators for an autoregressive model with random effects when both T and N tend to infinity. GMM and LIML are consistent and asymptotically equivalent to the WG estimator. When T/N->0 the fixed T results for GMM and LIML remain valid, but WG although consistent has an asymptotic bias in its asymptotic distribution. When T/N tends to a positive constant, the WG, GMM and LIML estimators exhibit negative asymptotic biases of order T,N and (2N-T), respectively. In addition, the crude GMM estimator that neglects the autocorrelation in first differenced errors is inconsistent as T/N->c>0, despite being consistent for fixed T. Finally, we discuss the properties of a random effects MLE with unrestricted initial conditions when both T and N tend to infinity.
Keywords: ECONOMETRIC MODELS; ESTIMATION OF PARAMETERS; TIME SERIES (search for similar items in EconPapers)
JEL-codes: C22 C24 (search for similar items in EconPapers)
Pages: 64 pages
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (21)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Journal Article: The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators (2003)
Working Paper: The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators (1998) 
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:fth:cemfdt:9808
Access Statistics for this paper
More papers in Working Papers from Centro de Estudios Monetarios Y Financieros- Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().