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Automatic Inference for Infinite Order Vector Autoregressions
Vector Autoregressions instrument
2015/9/22
Infinite order vector autoregressive (VAR) models have been used in a number of applications
ranging from spectral density estimation, impulse response analysis, tests for cointegration and uni...
Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both n and T are Large
Asymptotically Unbiased Inference Dynamic Panel Model
2015/9/22
We consider a dynamic panel AR(1) model with fixed effects when both n and T are large. Under the
“T fixed n large” asymptotic approximation, the ordinary least squares (OLS) or Gau...