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Please use this identifier to cite or link to this item:
http://hdl.handle.net/1783.1/1196
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| Title: | Instrumental variables estimation of a nearly nonstationary error component model with a linear time trend |
| Authors: | Choi, In |
| Keywords: | Error component model
Instrumental variables estimation |
| Issue Date: | Jan-2002 |
| Abstract: | This paper studies instrumental-variables (IV) estimation for an error component model with nearly nonstationary regressors and a linear time trend. It is assumed that the numbers of cross-section and time series observations are infinite. Furthermore, autoregressive disturbances are assumed for the error component model, the structure of which may vary with individuals. To estimate the model, we consider the IV-GLS and Within-IV-GLS estimators. These estimators are shown to have the same normal distribution in the limit. Also, Wald tests for coefficient vectors are shown to have chi-square distributions in the limit. As an empirical example, the Solow growth model is estimated and tested. |
| URI: | http://hdl.handle.net/1783.1/1196 |
| Appears in Collections: | ECON Working Papers
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