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.
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