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Unit root tests for panel data with AR(1) errors and small T

De Blander, Rembert; Dhaene, Geert - In: The econometrics journal 15 (2012) 1, pp. 101-124

Persistent link: https://www.econbiz.de/10009520545

Bias-corrected estimation of panel vector autoregressions

Dhaene, Geert; Jochmans, Koen - In: Economics letters 145 (2016), pp. 98-103

Persistent link: https://www.econbiz.de/10011618237

Second-order corrected likelihood for nonlinear panel models with fixed effects

Dhaene, Geert; Sun, Yutao - In: Journal of econometrics 220 (2021) 2, pp. 227-252

Persistent link: https://www.econbiz.de/10012618510

Approximate functional differencing

Dhaene, Geert; Weidner, Martin - In: SERIEs : Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 379-416

Inference on common parameters in panel data models with individual-specific fixed effects is a classic example of Neyman and Scott's (Econometrica 36:1-32, 1948) incidental parameter problem (IPP). One solution to this IPP is functional differencing (Bonhomme in Econometrica 80(4):1337-1385,...

Persistent link: https://www.econbiz.de/10014462258