On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root
DC Field | Value | Language |
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dc.contributor.author | Gorgens, Tue | - |
dc.contributor.author | Han, Chirok | - |
dc.contributor.author | Xue, Sen | - |
dc.date.accessioned | 2021-08-30T07:03:50Z | - |
dc.date.available | 2021-08-30T07:03:50Z | - |
dc.date.created | 2021-06-19 | - |
dc.date.issued | 2020-12 | - |
dc.identifier.issn | 0165-1765 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/51314 | - |
dc.description.abstract | This paper considers the GMM estimator, alpha, of the autoregressive parameter in linear dynamic panel data models with fixed effects when the data-generating process has a unit root. Previous literature has established that the limit distribution of n(1/4)(alpha - 1) is degenerate and nondegenerate each with probability 1/2. We sharpen this result by showing that the limit distribution of n(1/2)(alpha - 1) is nondegenerate when n(1/4)(alpha - 1) converges in probability to 0, and we characterize the limit distribution which is nonstandard. (C) 2020 Published by Elsevier B.V. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE SA | - |
dc.title | On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Han, Chirok | - |
dc.identifier.doi | 10.1016/j.econlet.2020.109605 | - |
dc.identifier.scopusid | 2-s2.0-85092499798 | - |
dc.identifier.wosid | 000600839700024 | - |
dc.identifier.bibliographicCitation | ECONOMICS LETTERS, v.197 | - |
dc.relation.isPartOf | ECONOMICS LETTERS | - |
dc.citation.title | ECONOMICS LETTERS | - |
dc.citation.volume | 197 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordAuthor | Dynamic panel data models | - |
dc.subject.keywordAuthor | Fixed effects | - |
dc.subject.keywordAuthor | Generalized method of moments | - |
dc.subject.keywordAuthor | Quadratic moment restrictions | - |
dc.subject.keywordAuthor | Nonstandard limiting distributions | - |
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