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GAUSSIAN INFERENCE IN DYNAMIC PANELS WITH FIXED EFFECTS BASED ON SECOND DIFFERENCING
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Journal Article
GAUSSIAN INFERENCE IN DYNAMIC PANELS WITH FIXED EFFECTS BASED ON SECOND DIFFERENCING
2011
Overview
This paper develops a new approach to estimation in dynamic panel data models with fixed effects and incidental trends, based on second differencing. The proposed estimation method is immune to the weak instrument problem that is known to arise when the conventional GMM is applied to the cases where the autoregressive coefficient (ρ) is close to unity. Similar to the first-difference estimator introduced by Han and Phillips (2010, pp. 119-151), the new estimator has standard Gaussian asymptotics for all values of ρ ∈ (-1, 1] in both panel and time series cases. Given its smaller asymptotic variance when the series exhibit positive or moderate positive autocorrelation, the panel unit root test built on the second-difference estimator is more powerful than that built on Han and Phillips' counterpart. [PUBLICATION ABSTRACT]
Publisher
Institute of Economics, Academia Sinica
Subject
