Uniform inference in panel autoregression
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. Our main objective is to construct confidence intervals for ρ that are asymptotically valid, having asymptotic c...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |