X-differencing and dynamic panel model estimation

• 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
• Institution: Singapore Management University

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...