Statistical inference in a random coefficient panel model

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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...

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Bibliographic Details
Main Authors:	Horváth, Lajos, Trapani, Lorenzo
Format:	Article
Published:	Elsevier 2016
Subjects:	Random Coefficient Autoregression; Panel data; WLS estimator; Common factors
Online Access:	https://eprints.nottingham.ac.uk/46953/

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