Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
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DOI: 10.1016/j.jeconom.2020.04.023
Abstract: Abstract Persistence and mean-nonstationarity often undermine reliability of asymptotically justified inference in dynamic panels. We combine the Monte Carlo test (MCT) and the indirect inference estimation (IIE) principles to construct confidence regions for autoregressive panel… read more here.
Keywords: inference; two stage; indirect inference; monte carlo ... See more keywords