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Estimation of Autoregressive Roots near Unity using Panel Data

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

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  • Moon, Hyungsik R. & Phillips, Peter C.B., 1999. "Estimation of Autoregressive Roots near Unity using Panel Data," University of California at Santa Barbara, Economics Working Paper Series qt7fd8x80m, Department of Economics, UC Santa Barbara.
    • Handle: RePEc:cdl:ucsbec:qt7fd8x80m
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    Cited by:

    1. Moon, Hyungsik R. & Phillips, Peter C.B., 2000. "Estimation Of Autoregressive Roots Near Unity Using Panel Data," Econometric Theory, Cambridge University Press, vol. 16(6), pages 927-997, December.
    2. Hyungsik Roger Moon & Peter C. B. Phillips, 2004. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Econometrica, Econometric Society, vol. 72(2), pages 467-522, March.
    3. Hjalmarsson, Erik, 2005. "Predictive regressions with panel data," Working Papers in Economics 160, University of Gothenburg, Department of Economics.
    4. Jamie Emerson & Chihwa Kao, 2000. "Testing for Structural Change of a Time Trend Regression in Panel Data," Center for Policy Research Working Papers 15, Center for Policy Research, Maxwell School, Syracuse University.

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