Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
自回归面板的蒙特卡洛两阶段间接推断
Persistence and mean-nonstationarity often undermine reliability of asymptotically justified inference in dynamic panels. We combine the Monte Carlo test (MCT) and the indirect inference estimation (IIE) principles to construct confidence regions for autoregressive panel parameters with valid coverage whether mean-stationarity is imposed or relaxed and whether autoregressive roots are at or close to the unit boundary or far from unity. Procedures are based on the standard…