Uniform inference in panel autoregression
This paper considers estimation and inference concerning the autoregressive coefficient (rho) in a panel autoregression for which the degree of persistence in the time dimension is unknown. Our main objective is to construct confidence intervals for rho that are asymptotically valid, having asymptot...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2352 https://ink.library.smu.edu.sg/context/soe_research/article/3351/viewcontent/econometrics_07_00045_pv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |