|
Abstract:
This paper considers the estimation of average autoregressive roots-near-unity in panels where the time-series have heterogenous local-to-unity parameters. The pooled estimator is shown to have a potentially severe bias and a robust median based procedure is proposed instead. This median estimator has a small asymptotic bias that can be eliminated almost completely by a bias correction procedure. The asymptotic normality of the estimator is proved. The methods proposed in the paper provide a useful way of summarizing the persistence in a panel data set, as well as a complement to more traditional panel unit root tests.
Full paper (833 KB PDF)
| Full paper (screen reader version)
Keywords
Local-to-unity, panel data, pooled regression, median estimation, bias correction
PDF files: Adobe Acrobat Reader ZIP files: PKWARE
Home | IFDPs | List of 2006 IFDPs
Accessibility |
Contact Us
Last update: March 20, 2006
|
