论文检索

固定效应自回归模型中的似然推断AI 解读

We calculate the bias of the profile score for the regression coefficients in a multistratum autoregressive model with stratum-specific intercepts. The bias is free of incidental parameters. Centering the profile score delivers an unbiased estimating equation and, upon integration, an adjusted profile likelihood. A variety of other approaches to constructing modified profile likelihoods are shown to yield equivalent results. However, the global maximizer of the adjusted…

具有AR(1)误差和短时间维度的面板单位根检验AI 解读

We propose unit root tests for panel data with a small number of time periods, T, and increments that follow an AR(1) process under the null. The model is a fixed‐effect panel version of the augmented Dickey–Fuller regression of order 1. Individual‐specific linear trends may also be included. The test statistics are t‐type statistics based on least‐squares estimates from which the Nickell bias is removed. Their limiting distributions (for an increasing number of independent…