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Han, Chirok; Phillips, Peter C. B.

GMM estimation for dynamic panels with fixed effects and strong instruments at unity. (English) Zbl 1181.62193

Econom. Theory 26, No. 1, 119-151 (2010).
Summary: This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and incidental trends. A simple consistent general method of moments (GMM) estimation method is proposed that avoids the weak moment condition problem that is known to affect conventional GMM estimation when the autoregressive coefficient \((\rho)\) is near unity. In both panel and time series cases, the estimator has standard Gaussian asymptotics for all values of \(\rho \in (-1,1]\) irrespective of how the composite cross-section and time series sample pass to infinity. Simulations reveal that the estimator has little bias even in very small samples. The approach is applied to panel unit root testing.

Cited in 1 Review
Cited in 21 Documents

MSC:

62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05 Nonparametric estimation
65C60 Computational problems in statistics (MSC2010)
62G20 Asymptotic properties of nonparametric inference
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\textit{C. Han} and \textit{P. C. B. Phillips}, Econom. Theory 26, No. 1, 119--151 (2010; Zbl 1181.62193)
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References:

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