An efficient linear GMM estimator for the covariance stationary AR (1)/unit root model for panel data
(2007)
Journal Article
Kruiniger, H. (2007). An efficient linear GMM estimator for the covariance stationary AR (1)/unit root model for panel data. Econometric Theory, 23(3), 519-535. https://doi.org/10.1017/s0266466607070235
This paper considers generalized method of moments (GMM) estimation of the inclusive panel AR(1) model that contains the covariance stationary panel AR(1) model and the panel AR(1) model with a unit root as special cases. The paper presents a two-ste... Read More about An efficient linear GMM estimator for the covariance stationary AR (1)/unit root model for panel data.