Juodis, Artūras; Sarafidis, Vasilis - In: SERIEs - Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 435-461
This paper revisits the panel autoregressive model, with a primary emphasis on the unit-root case. We study a class of misspecified Random effects Maximum Likelihood (mRML) estimators when T is either fixed or large, and N tends to infinity. We show that in the unit-root case, for any fixed...
