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Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

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  • Michael Binder

    (University of Maryland)

  • Cheng Hsiao

    (University of Southern California)

  • M. Hashem Pesaran

    (University of Cambridge)

Abstract

This paper considers estimation and inference in panel vector autoregressions with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood estimator based on a transformed likelihood function is proposed and shown to be consistent and asymptotically normally distributed irrespective of the unit root and cointegrating properties of the underlying PVAR model.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/00/Fic/dt0005e.pdf
File Function: First version, 2000
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0005.

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Length: 68 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:bde:wpaper:0005

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Keywords: sampling; mathematics; models;

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References

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  38. Pesaran, M. H. & Binder, M., 1997. "Solution of Multivariate Linear Rational Expectations Models and Large Sparse Linear Systems," Cambridge Working Papers in Economics 9708, Faculty of Economics, University of Cambridge.
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