Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This paper considers the GMM estimator, αˆ, 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 that the limit distribution of n1∕4(αˆ−1) is degenerate and nondegenerate each with probability 1/2. We sharpen this result by showing that the limit distribution of n1∕2(αˆ−1) is nondegenerate when n1∕4(αˆ−1) converges in probability to 0, and we characterize the limit distribution which is nonstandard.