EconPapers    
Economics at your fingertips  
 

Asymptotic Inference for Dynamic Panel Estimators of In nite Order Autoregressive Processes

Yoon-Jin Lee (), Ryo Okui () and Mototsugu Shintani

No 879, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: In this paper we consider the estimation of a dynamic panel autoregressive (AR) process of possibly in nite order in the presence of individual effects. We utilize the sieve AR approximation with its lag order increasing with the sample size. We establish the consistency and asymptotic normality of the standard dynamic panel data estimators, including the xed effects estimator, the gen- eralized methods of moments estimator and Hayakawa's instrumental variables estimator, using double asymptotics under which both the cross-sectional sam- ple size and the length of time series tend to in nity. We also propose a bias- corrected xed effects estimator based on the asymptotic result. Monte Carlo simulations demonstrate that the estimators perform well and the asymptotic approximation is useful. As an illustration, proposed methods are applied to dynamic panel estimation of the law of one price deviations among US cities.

Keywords: Autoregressive Sieve Estimation; Bias Correction; Double Asymptotics; Fixed Effects Estimator; GMM; Instrumental Variables Estimator. (search for similar items in EconPapers)
JEL-codes: C13 C23 C26 (search for similar items in EconPapers)
Pages: 87pages
Date: 2013-10
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.kier.kyoto-u.ac.jp/DP/DP879.pdf (application/pdf)

Related works:
Journal Article: Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes (2018) 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:kyo:wpaper:879

Access Statistics for this paper

More papers in KIER Working Papers from Kyoto University, Institute of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Ryo Okui (). This e-mail address is bad, please contact .

 
Page updated 2020-03-30
Handle: RePEc:kyo:wpaper:879