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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

Chapter:
(p.81) 6 Autoregressive Models With Individual Effects
Source:
Panel Data Econometrics
Author(s):

Manuel Arellano

Publisher:
Oxford University Press
DOI:10.1093/0199245282.003.0006

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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