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

  • Michael Binder

    (University of Maryland)

  • Cheng Hsiao

    (University of Southern California)

  • M. Hashem Pesaran

    (University of Cambridge)

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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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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  26. Mohammad Hashem Pesaran & Yongcheol Shin, 1999. "Long-Run Structural Modelling," ESE Discussion Papers 44, Edinburgh School of Economics, University of Edinburgh.
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