Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5061828 | Economics Letters | 2008 | 4 Pages |
Abstract
This short note derives the probability limits of several estimators for panel AR(1) models under misspecification using sequential asymptotics. The results show that GMM estimators based on the forward orthogonal deviation transformation converge to the first-order autocorrelation coefficient.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ryo Okui,