Statistical inference in a random coefficient panel model
This paper studies the asymptotics of the Weighted Least Squares (WLS) estimator of the autoregressive root in a panel Random Coefficient Autoregression (RCA). We show that, in an RCA context, there is no “unit root problem” : the WLS estimator is always asymptotically normal, irrespective of the av...
| Main Authors: | , |
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| Format: | Article |
| Language: | English English |
| Published: |
Elsevier
2016
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| Online Access: | http://eprints.nottingham.ac.uk/46953/ http://eprints.nottingham.ac.uk/46953/ http://eprints.nottingham.ac.uk/46953/ http://eprints.nottingham.ac.uk/46953/8/HorvathTrapani4R.pdf http://eprints.nottingham.ac.uk/46953/1/HorvathTrapani.pdf |