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

Listed author(s):
  • 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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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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Paper provided by Banco de España & Working Papers Homepage in its series Working Papers with number 0005.

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Length: 68 pages
Date of creation: 2000
Handle: RePEc:bde:wpaper:0005
Contact details of provider: Web page: http://www.bde.es/

Web page: http://www.bde.es/bde/en/secciones/informes/Publicaciones_se/docs/
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