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Estimation of Autoregressive Roots near Unity using Panel Data

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  • Moon, Hyungsik R.
  • Phillips, Peter C.B.

Abstract

Time series data are often well modelled by using the device of an autoregressive root that is local to unity. Unfortunately, the localizing parameter (c) is not consistently estimable using existing time series econometric techniques and the lack of a consistent estimator complicates inference. This paper develops procedures for the estimation of a common localizing parameter using panel data. Pooling information across individuals in a panel aids the identification and estimation of the localising parameter and leads to consistent estimation in simple panel models. However, in the important case of models with concomitant deterministic trends, it is shown that pooled panel estimators of the localising parameter are asymptotically biased. Some techniques are developed to overcome this difficulty and consistent estimators of c in the region c

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Bibliographic Info

Paper provided by Department of Economics, UC Santa Barbara in its series University of California at Santa Barbara, Economics Working Paper Series with number qt7fd8x80m.

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Date of creation: 01 Jul 1999
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Handle: RePEc:cdl:ucsbec:qt7fd8x80m

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Keywords: Estimation of Autoregressive Roots near Unity using Panel Data;

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References

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  1. Peter C.B. Phillips & Hyungsik R. Moon & Zhijie Xiao, 1998. "How to Estimate Autoregressive Roots Near Unity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1191, Cowles Foundation for Research in Economics, Yale University.
  2. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 277-301, March.
  3. Moon, Hyungsik R. & Phillips, Peter C.B., 2000. "Estimation Of Autoregressive Roots Near Unity Using Panel Data," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 16(06), pages 927-997, December.
  4. Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 932, Cowles Foundation for Research in Economics, Yale University.
  5. Uhlig, Harald, 1994. "On Jeffreys Prior when Using the Exact Likelihood Function," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 10(3-4), pages 633-644, August.
  6. Cavanagh, Christopher L. & Elliott, Graham & Stock, James H., 1995. "Inference in Models with Nearly Integrated Regressors," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 11(05), pages 1131-1147, October.
  7. Peter C.B. Phillips & Chin Chin Lee, 1996. "Efficiency Gains from Quasi-Differencing Under Nonstationarity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1134, Cowles Foundation for Research in Economics, Yale University.
  8. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1222, Cowles Foundation for Research in Economics, Yale University.
  9. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0130, National Bureau of Economic Research, Inc.
  10. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  11. repec:cup:etheor:v:11:y:1995:i:5:p:1131-47 is not listed on IDEAS
  12. Xiao, Zhijie & Phillips, Peter C.B., 1999. "Efficient Detrending In Cointegrating Regression," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 15(04), pages 519-548, August.
  13. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, Elsevier, vol. 28(3), pages 435-459, December.
  14. Eugene Canjels & Mark W. Watson, 1994. "Estimating deterministic trends in the presence of serially correlated errors," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 94-19, Federal Reserve Bank of Chicago.
  15. repec:fth:calaec:1-99 is not listed on IDEAS
  16. repec:fth:calaec:17-98 is not listed on IDEAS
  17. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1221, Cowles Foundation for Research in Economics, Yale University.
  18. repec:fth:calaec:17-98r is not listed on IDEAS
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