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Asymptotic distribution of misspecified random effects estimator for a dynamic panel model with fixed effects when both n and T are large

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Listed author(s):
  • Hahn, Jinyong
  • Kuersteiner, Guido
  • Cho, Myeong Hyeon

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File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(04)00041-2
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 84 (2004)
Issue (Month): 1 (July)
Pages: 117-125

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Handle: RePEc:eee:ecolet:v:84:y:2004:i:1:p:117-125
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  1. Newey, Whitney K, 1991. "Uniform Convergence in Probability and Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 59(4), pages 1161-1167, July.
  2. Javier Alvarez & Manuel Arellano, 2003. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Econometrica, Econometric Society, vol. 71(4), pages 1121-1159, 07.
  3. Jinyong Hahn & Whitney Newey, 2004. "Jackknife and Analytical Bias Reduction for Nonlinear Panel Models," Econometrica, Econometric Society, vol. 72(4), pages 1295-1319, 07.
  4. Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July.
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Cited by:

  1. Manuel Arellano & Stéphane Bonhomme, 2009. "Robust Priors in Nonlinear Panel Data Models," Econometrica, Econometric Society, vol. 77(2), pages 489-536, 03.
  2. Rodrigo Alfaro, 2008. "Estimation of a Dynamic Panel Data: The Case Of Corporate Investment in Chile," Working Papers Central Bank of Chile 467, Central Bank of Chile.

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