X-differencing and dynamic panel model estimation

X-differencing and dynamic panel model estimation

This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic errors. The proposed estimator uses a novel form of systematic differencing, called X-differencing, that eliminates fixed effects and retains information and signal strength in cases whe...

Full description

Saved in:
Bibliographic Details
Main Authors: HAN, Chirok, PHILLIPS, Peter C. B., SUL, Donggyu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Maximum Likelihood Estimation
Unit Root
Time Series
Limit Theory
Matrix Estimator
Error Components
Inference
Covariance
Regression
Autoregression
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1971
https://ink.library.smu.edu.sg/context/soe_research/article/2970/viewcontent/X_Diff_2014_afv.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1971
https://ink.library.smu.edu.sg/context/soe_research/article/2970/viewcontent/X_Diff_2014_afv.pdf

Similar Items