On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root

Tue Gørgens, Chirok Han, Sen Xue

Research output: Contribution to journalArticlepeer-review

Abstract

This paper considers the GMM estimator, αˆ, of the autoregressive parameter in linear dynamic panel data models with fixed effects when the data-generating process has a unit root. Previous literature has established that the limit distribution of n1∕4(αˆ−1) is degenerate and nondegenerate each with probability 1/2. We sharpen this result by showing that the limit distribution of n1∕2(αˆ−1) is nondegenerate when n1∕4(αˆ−1) converges in probability to 0, and we characterize the limit distribution which is nonstandard.

Original languageEnglish
Article number109605
JournalEconomics Letters
Volume197
DOIs
Publication statusPublished - 2020 Dec

Keywords

  • Dynamic panel data models
  • Fixed effects
  • Generalized method of moments
  • Nonstandard limiting distributions
  • Quadratic moment restrictions

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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