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Citations for "GMM Estimation of Autoregressive Roots Near Unity with Panel Data"

by Hyungsik Roger Moon & Peter C.B. Phillips

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  1. Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004. "Testing for a unit root in panels with dynamic factors," Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
  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. Peter C.B. Phillips & Chirok Han, 2014. "True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression," Cowles Foundation Discussion Papers 1963, Cowles Foundation for Research in Economics, Yale University.
  4. Bai, Jushan & Kao, Chihwa & Ng, Serena, 2009. "Panel cointegration with global stochastic trends," Journal of Econometrics, Elsevier, vol. 149(1), pages 82-99, April.
  5. Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2015. "Scale and skill in active management," Journal of Financial Economics, Elsevier, vol. 116(1), pages 23-45.
  6. Phillips, Peter C.B. & Sul, Donggyu, 2007. "Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence," Journal of Econometrics, Elsevier, vol. 137(1), pages 162-188, March.
  7. Kajal Lahiri & Zhongwen Liang & Huaming Peng, 2017. "The Local Power of the IPS Test with Both Initial Conditions and Incidental Trends," CESifo Working Paper Series 6313, CESifo Group Munich.
  8. Hayakawa, Kazuhiko, 2016. "Improved GMM estimation of panel VAR models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 240-264.
  9. Phillips, Peter C.B. & Han, Chirok, 2015. "The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression," Economics Letters, Elsevier, vol. 127(C), pages 89-92.
  10. Gonçalves, Sílvia & Kaffo, Maximilien, 2015. "Bootstrap inference for linear dynamic panel data models with individual fixed effects," Journal of Econometrics, Elsevier, vol. 186(2), pages 407-426.
  11. Moon, Hyungsik Roger & Perron, Benoit & Phillips, Peter C.B., 2007. "Incidental trends and the power of panel unit root tests," Journal of Econometrics, Elsevier, vol. 141(2), pages 416-459, December.
  12. Jinyong Hahn & Jerry Hausman & Guido Kuersteiner, 2005. "Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed E¤ects," Boston University - Department of Economics - Working Papers Series WP2005-024, Boston University - Department of Economics.
  13. Michael Jansson & Marcelo J. Moreira, 2006. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Econometrica, Econometric Society, vol. 74(3), pages 681-714, May.
  14. Erik Hjalmarsson, 2005. "Estimation of average local-to-unity roots in heterogenous panels," International Finance Discussion Papers 852, Board of Governors of the Federal Reserve System (U.S.).
  15. Joakim Westerlund & Jörg Breitung, 2013. "Lessons from a Decade of IPS and LLC," Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 547-591, August.
  16. Skrobotov, Anton & Turuntseva, Marina, 2017. "Testing the Hypothesis of a Unit Root for Independent Panels," Working Papers 021707, Russian Presidential Academy of National Economy and Public Administration.
  17. Westerlund, Joakim, 2015. "The effect of recursive detrending on panel unit root tests," Journal of Econometrics, Elsevier, vol. 185(2), pages 453-467.
  18. Zhongwen Liang, 2017. "A Unified Approach on the Local Power of Panel Unit Root Tests," Papers 1710.02944, arXiv.org.
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