Efficient inference on fractionally integrated panel data models with fixed effects

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dc.contributor.author Robinson, Peter Michael
dc.contributor.author Velasco Gómez, Carlos
dc.date.accessioned 2015-02-24T15:58:53Z
dc.date.available 2015-02-24T15:58:53Z
dc.date.issued 2015-04
dc.identifier.bibliographicCitation Robinson, P.M. and C. Velasco. Efficient inference on fractionally integrated panel data models with fixed effects. Journal of Econometrics, 2015, 185, 435-452.
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10016/20093
dc.description.abstract A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping withthe individual effects so as to estimate the parameters. Like models with autoregressive dynamics, ours nests I(1) behaviour, but unlike the nonstandard asymptotics in the autoregressive case, estimates of the fractional parameter can be asymptotically normal. For three of the estimates, establishing this property is made difficult due to bias caused by the individual effects, or by the consequences of eliminating them, which appears in the central limit theorem except under stringent conditions on the growth of the cross-sectional size N relative to the time series length T; though in case of two estimates these can be relaxed by bias correction, where the biases depend only on the parameters describing autocorrelation. For the fourth estimate, there is no bias problem, and no restrictions on N: Implications for hypothesis testing and interval estimation are discussed, with central limit theorems for feasibly bias-corrected estimates included. A Monte Carlo study of nite-sample performance is included.
dc.description.sponsorship Research supported by a Cátedra de Excelencia at Universidad Carlos III de Madrid, Spanish Plan Nacional de I+d+I Grant SEJ2007-62908/ECON, and ESRC Grant ES/J007242/1. Research supported by Spanish Ministerio de Economía y Competitividad Grant ECO2012-31748
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Panel data
dc.subject.other Fractional time series
dc.subject.other Estimation
dc.subject.other Testing
dc.subject.other Bias correction
dc.title Efficient inference on fractionally integrated panel data models with fixed effects
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.jeconom.2014.12.003
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/j.jeconom.2012.11.005
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. SEJ2007-62908/ECON
dc.relation.projectID Gobierno de España. ES/J007242/1
dc.relation.projectID Gobierno de España. ECO2012-31748
dc.relation.projectID Gobierno de España. 2013/00049/001
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 435
dc.identifier.publicationissue 2
dc.identifier.publicationlastpage 452
dc.identifier.publicationtitle Journal of Econometrics
dc.identifier.publicationvolume 185
dc.identifier.uxxi AR/0000016197
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