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Uniform inference in panel autoregression

Chao, John C.; Phillips, Peter C. B. - In: Econometrics 7 (2019) 4, pp. 1-28

This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression for which the degree of persistence in the time dimension is unknown. Our main objective is to construct confidence intervals for p that are asymptotically valid, having...

Persistent link: https://www.econbiz.de/10012696260

Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

Chao, John C.; Phillips, Peter C. B. - In: Journal of Econometrics 91 (1999) 2, pp. 227-271

Persistent link: https://www.econbiz.de/10005285505

Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables

Chao, John C.; Phillips, Peter C. B. - In: Journal of Econometrics 111 (2002) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10005228579

Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

Chao, John C.; Phillips, Peter C. B. - 1997

Persistent link: https://www.econbiz.de/10000966052

Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

Chao, John C.; Phillips, Peter C. B. - In: Journal of econometrics 91 (1999) 2, pp. 227-271

Persistent link: https://www.econbiz.de/10001382089

Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior

Chao, John C. - In: Journal of econometrics 87 (1998) 1, pp. 49-86

Persistent link: https://www.econbiz.de/10001248306

Uniform inference in panel autoregression

Chao, John C.; Phillips, Peter C. B. - 2017

Persistent link: https://www.econbiz.de/10011647633

Uniform inference in panel autoregression

Chao, John C.; Phillips, Peter C. B. - In: Econometrics : open access journal 7 (2019) 4/45, pp. 1-28

Persistent link: https://www.econbiz.de/10012160749

Jeffreys prior analysis of the simultaneous equations model in the case with n + 1 endogenous variables

Chao, John C.; Phillips, Peter C. B. - In: Journal of econometrics 111 (2002) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10001715747

Uniform Inference in Panel Autoregression

Chao, John C. - 2017

This paper considers estimation and inference concerning the autoregressive coefficient (ρ) in a panel autoregression for which the degree of persistence in the time dimension is unknown. The main objective is to construct confidence intervals for ρ that are asymptotically valid, having...

Persistent link: https://www.econbiz.de/10012965285