Panel AR(1) estimators under misspecification
This short note derives the probability limits of several estimators for panel AR(1) models under misspecification using sequential asymptotics. The results show that GMM estimators based on the forward orthogonal deviation transformation converge to the first-order autocorrelation coefficient.
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- Maurice J.G. Bun & Jan F. Kiviet, 2002. "The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models," Tinbergen Institute Discussion Papers 02-101/4, Tinbergen Institute, revised 19 Feb 2004.
- Hahn, Jinyong & Hausman, Jerry & Kuersteiner, Guido, 2007. "Long difference instrumental variables estimation for dynamic panel models with fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 574-617, October.
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- Tom Doan, "undated". "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January. Full references (including those not matched with items on IDEAS)
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