On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root
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DOI: 10.1016/j.econlet.2020.109605
Abstract: Abstract This paper considers the GMM estimator, α ˆ , 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… read more here.
Keywords: panel data; gmm estimator; dynamic panel; unit root ... See more keywords