Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes

64 Pages Posted: 9 Oct 2013 Last revised: 28 Nov 2016

See all articles by Yoon-Jin Lee

Yoon-Jin Lee

Kansas State University

Ryo Okui

Seoul National University

Mototsugu Shintani

Vanderbilt University - College of Arts and Science - Department of Economics

Date Written: November 28, 2016

Abstract

In this paper we consider the estimation of a dynamic panel autoregressive (AR) process of possibly infinite order in the presence of individual effects. We employ double asymptotics under which both the cross-sectional sample size and the length of time series tend to infinity and utilize the sieve AR approximation with its lag order increasing with the sample size. We establish the consistency and asymptotic normality of the fixed effects estimator and propose a bias-corrected fixed effects estimator based on a theoretical asymptotic bias term. Monte Carlo simulations demonstrate the usefulness of bias correction. As an illustration, the proposed methods are applied to dynamic panel estimation of the law of one price deviations among US cities.

Keywords: autoregressive sieve estimation, bias correction, double asymptotics, fixed effects estimator.

JEL Classification: C13, C23, C26

Suggested Citation

Lee, Yoon-Jin and Okui, Ryo and Shintani, Mototsugu, Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes (November 28, 2016). Available at SSRN: https://ssrn.com/abstract=2337445 or http://dx.doi.org/10.2139/ssrn.2337445

Yoon-Jin Lee

Kansas State University ( email )

Manhattan, KS 66506-4001
United States

Ryo Okui (Contact Author)

Seoul National University ( email )

Seoul
Korea, Republic of (South Korea)

Mototsugu Shintani

Vanderbilt University - College of Arts and Science - Department of Economics ( email )

Box 1819 Station B
Nashville, TN 37235
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
143
Abstract Views
719
rank
246,028
PlumX Metrics