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Panel Data Econometrics$
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Manuel Arellano

Print publication date: 2003

Print ISBN-13: 9780199245284

Published to Oxford Scholarship Online: July 2005

DOI: 10.1093/0199245282.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 24 September 2021

Autoregressive Models With Individual Effects

Autoregressive Models With Individual Effects

(p.81) 6 Autoregressive Models With Individual Effects
Panel Data Econometrics

Manuel Arellano

Oxford University Press

This chapter discusses the specification and estimation of autoregressive models with individual specific intercepts. It focuses on first order processes, since the main insights generalise in a straightforward way to high-order and multivariate cases. It discusses the role in short panels of assumptions about initial conditions, homoskedasticity, and whether the parameter space includes the possibility of unit roots; alternative representations of restrictions that can be obtained by transformation; and the various aspects of inference with VAR panel data models.

Keywords:   autoregressive models, individual effects, first order processes, short panels, VAR panel data models

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