Panel AR(1) estimators under misspecification

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 101
Issue: 3
Pages: 210-213

Authors (1)

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:101:y:2008:i:3:p:210-213
Journal Field
General
Author Count
1
Added to Database
2026-01-26