On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root

被引：0

作者：

Gorgens, Tue ^{[1
]}

Han, Chirok ^{[2
]}

Xue, Sen ^{[3
]}

机构：

[1] Australian Natl Univ, Res Sch Econ, Canberra, ACT 0200, Australia

[2] Korea Univ, Dept Econ, Seoul, South Korea

[3] Jinan Univ, Inst Econ & Social Res, Jinan, Peoples R China

来源：

ECONOMICS LETTERS | 2020年 / 197卷

关键词：

Dynamic panel data models; Fixed effects; Generalized method of moments; Quadratic moment restrictions; Nonstandard limiting distributions;

D O I：

10.1016/j.econlet.2020.109605

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper considers the GMM estimator, alpha, of the autoregressive parameter in linear dynamic panel data models with fixed effects when the data-generating process has a unit root. Previous literature has established that the limit distribution of n(1/4)(alpha - 1) is degenerate and nondegenerate each with probability 1/2. We sharpen this result by showing that the limit distribution of n(1/2)(alpha - 1) is nondegenerate when n(1/4)(alpha - 1) converges in probability to 0, and we characterize the limit distribution which is nonstandard. (C) 2020 Published by Elsevier B.V.

引用

页数：3

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