GMM Estimation of Autoregressive Roots Near Unity with Panel Data

By H. R. Moon. 2004

50 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4c7d0f2b6555e5acbbc1e52e11232e9d439fc6ef

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In Economics and Econometrics

Citations in the corpus

The optimal choice of moments in dynamic panel data models (2009, methodology): “Since the standard deviation decreases quickly first and slowly after adding a few moment conditions, the root mean squared error is a U-shaped function of the number of lags used as instruments.”
Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed Effects (2001, unknown): “We have √ n (b− β) = ¡ 1 n Pn i=1 b zixi¢0 ¡ 1 nPni=1 b zib z0 i¢−1 3 1 √nPni=1 b ziεi ́ ¡ 1 n Pn i=1 b zixi¢0 ¡ 1 nPni=1 b zib z0 i¢−1 3 1 √nPni=1 b zixi ́ (33)”
BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS (2011, result): “For the probit model Conditions 5, 6, and 7 hold if E [ wi tw ′ i t ] is positive definite uniformly in i by the results of Newey and McFadden (1994, p. 2147 and fn 29). For Example 2 we note that De Jong and Woutersen (2011) discuss conditions for consistency such that for wi t = ( 1, yit−1, z′ i t”
REDUCING BIAS OF MLE IN A DYNAMIC PANEL MODEL (2006, unknown): “t=1 �t 1 �T � �i"0jt = op (1) ( 13 ) 1”
Testing For A Unit Root In Panels With Dynamic Factors (2004, background): “Similarly, Part (b) follows by (26) and (23) .”
Incidental Trends and the Power of Panel Unit Root Tests (2007, methodology): “…H2: 5.3.2 The LM Test in Moon and Phillips (2004) The second test we investigate is the LM test proposed by Moon and Phillips (2004), which is constructed in a fashion similar to Vg;nT : The main di¤erence is that Moon and Phillips (2004) use ordinary least squares (OLS) to detrend the data.”
Panel cointegration with global stochastic trends (2008, background): “A large literature 1See, for example, Baltagi (2005), Hsiao (2003), Pesaran and Smith (1995), Kao (1999), and Moon and Phillips (2000, 2004) in the context of testing the unit root hypothesis using panel data.”