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Asymptotically unbiased inference for a panel VAR model with p lags

Cubillos-Rocha, Juan Sebastian; Melo-Velandia, Luis Fernando - 2018

Persistent link: https://www.econbiz.de/10011993173

Estimation of fixed effects panel regression models with separable and nonseparable space-time filters

Lee, Lung-fei; Yu, Jihai - In: Journal of econometrics 184 (2015) 1, pp. 174-192

Persistent link: https://www.econbiz.de/10011326795

Estimation of dynamic panel spatial vector autoregression : stability and spatial multivariate cointegration

Yang, Kai; Lee, Lung-fei - In: Journal of econometrics 221 (2021) 2, pp. 337-367

Persistent link: https://www.econbiz.de/10012618869

Estimation of higher-order spatial autoregressive panel data error component models

Badinger, Harald; Egger, Peter - 2009

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …

Persistent link: https://www.econbiz.de/10003808637

Rank based cointegration testing for dynamic panels with fixed T

Juodis, Artūras - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 349-389

Persistent link: https://www.econbiz.de/10011949797

Exchange rate pass-through in the GCC countries : a dynamic panel data approach

Nakibullah, Ashraf - In: The empirical economics letters : a monthly … 15 (2016) 10, pp. 993-999

Persistent link: https://www.econbiz.de/10011717095

On estimating long-run effects in models with lagged dependent variables

Reed, W. Robert; Zhu, Min - In: Economic modelling 64 (2017), pp. 302-311

Persistent link: https://www.econbiz.de/10011761016

Risk-taking behavior and capital adequacy in a mixed banking system : new evidence from Malaysia using dynamic OLS and two-step dynamic system GMM estimators

Hishamuddin Abdul Wahab; Buerhan Saiti; Rosly, Saiful A.; … - In: Emerging markets finance & trade : a journal of the … 53 (2017) 1, pp. 180-198

Persistent link: https://www.econbiz.de/10011763966

Inferential theory for heterogeneity and cointegration in large panels

Trapani, Lorenzo - In: Journal of econometrics 220 (2021) 2, pp. 474-503

Persistent link: https://www.econbiz.de/10012618525

On an estimation method for an alternative fractionally cointegrated model

Carlini, Federico; Łasak, Katarzyna - 2014

In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...

Persistent link: https://www.econbiz.de/10010348412