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GMM Estimation of Autoregressive Roots Near Unity with Panel Data

Moon, Hyungsik Roger; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2003

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near … and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by …). Assuming that the localizing parameter takes a nonpositive value, we establish consistency of the GMM estimator and find its …

Persistent link: https://www.econbiz.de/10005463904

GMM Estimation of Autoregressive Roots Near Unity with Panel Data

Moon, Hyungsik Roger; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2000

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near … makes a nonpositive value, we establish consistency of the GMM estimator and find its limiting distribution. A notable new … finding is that the GMM estimator has convergence rate n^{1/6}, slower than root{n}, when the true localizing parameter is …

Persistent link: https://www.econbiz.de/10005593386

Estimation of Autoregressive Roots Near Unity Using Panel Data

Moon, Hyungsik R.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1999

Time series data are often well modelled by using the device of an autoregressive root that is local to unity. Unfortunately, the localizing parameter (c) is not consistently estimable using existing time series econometric techniques and the lack of a consistent estimator complicates inference....

Persistent link: https://www.econbiz.de/10005593554

New Data and Output Concepts for Understanding Productivity Trends

Nordhaus, William D. - Cowles Foundation for Research in Economics, Yale University - 2000

The present study is the second is a series of three papers devoted to issues in the measurement of productivity and productivity growth. The contributions of the present paper are three. First, it introduces a new approach to measuring industrial productivity based on income-side data that are...

Persistent link: https://www.econbiz.de/10005762582

Alternative Methods for Measuring Productivity Growth

Nordhaus, William D. - Cowles Foundation for Research in Economics, Yale University - 2000

The present study is a contribution to the theory of the measurement of productivity growth. First, it examines the welfare-theoretic basis for measuring productivity growth and shows that the ideal welfare-theoretic measure is a chain index of productivity growth rates of different sectors...

Persistent link: https://www.econbiz.de/10005196000

Productivity Growth and the New Economy

Nordhaus, William D. - Cowles Foundation for Research in Economics, Yale University - 2000

The present study is the third in a series of three papers devoted to issues in the measurement of productivity and productivity growth. The major findings are as follows. First, this study shows that the new data set used here, which develops data on total output, business sector output, and...

Persistent link: https://www.econbiz.de/10004990805