Projection Estimators for Autoregressive Panel Data Models.
In this paper we explore a new approach to estimation for autoregressive panel data models, based on projecting the unobserved individual effects on the vector of observations on the lagged dependent variable. This approach yields estimators which coincide with known generalized method of moments es...
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| Format: | Journal article |
| Language: | English |
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2002
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| _version_ | 1797060663713988608 |
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| author | Bond, S Windmeijer, F |
| author_facet | Bond, S Windmeijer, F |
| author_sort | Bond, S |
| collection | OXFORD |
| description | In this paper we explore a new approach to estimation for autoregressive panel data models, based on projecting the unobserved individual effects on the vector of observations on the lagged dependent variable. This approach yields estimators which coincide with known generalized method of moments estimators for models where stationarity is not imposed on the initial conditions and for models which satisfy mean stationarity. Our approach allows us to obtain a simple linear estimator for models which satisfy covariance stationarity, which although not fully efficient performs very well in simulations. |
| first_indexed | 2024-03-06T20:20:17Z |
| format | Journal article |
| id | oxford-uuid:2d925c1d-7648-4a14-bda6-cbe39303152e |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T20:20:17Z |
| publishDate | 2002 |
| record_format | dspace |
| spelling | oxford-uuid:2d925c1d-7648-4a14-bda6-cbe39303152e2022-03-26T12:43:47ZProjection Estimators for Autoregressive Panel Data Models.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:2d925c1d-7648-4a14-bda6-cbe39303152eEnglishDepartment of Economics - ePrints2002Bond, SWindmeijer, FIn this paper we explore a new approach to estimation for autoregressive panel data models, based on projecting the unobserved individual effects on the vector of observations on the lagged dependent variable. This approach yields estimators which coincide with known generalized method of moments estimators for models where stationarity is not imposed on the initial conditions and for models which satisfy mean stationarity. Our approach allows us to obtain a simple linear estimator for models which satisfy covariance stationarity, which although not fully efficient performs very well in simulations. |
| spellingShingle | Bond, S Windmeijer, F Projection Estimators for Autoregressive Panel Data Models. |
| title | Projection Estimators for Autoregressive Panel Data Models. |
| title_full | Projection Estimators for Autoregressive Panel Data Models. |
| title_fullStr | Projection Estimators for Autoregressive Panel Data Models. |
| title_full_unstemmed | Projection Estimators for Autoregressive Panel Data Models. |
| title_short | Projection Estimators for Autoregressive Panel Data Models. |
| title_sort | projection estimators for autoregressive panel data models |
| work_keys_str_mv | AT bonds projectionestimatorsforautoregressivepaneldatamodels AT windmeijerf projectionestimatorsforautoregressivepaneldatamodels |