Chapter

Autoregressive Models With Individual Effects

Manuel Arellano

in Panel Data Econometrics

Published in print June 2003 | ISBN: 9780199245284
Published online July 2005 | e-ISBN: 9780191602481 | DOI: http://dx.doi.org/10.1093/0199245282.003.0006

Series: Advanced Texts in Econometrics

 							Autoregressive Models With Individual Effects

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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

Chapter.  22902 words. 

Subjects: Econometrics and Mathematical Economics

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