Estimation of average local-to-unity roots in heterogenous panels
By: Erik Hjalmarsson
Contributors: Board of Governors of the Federal Reserve System (U.S.)
Series: International finance discussion papers -- no. 852; International finance discussion papers (Online) -- no. 852.
Publisher: Federal Reserve Board
Published: 2006
Place of publication: Washington, D.C
Language: eng
Format: [electronic resource] /
Description: "This paper considers the estimation of average autoregressive roots-near-unity in panels where the time-series have heterogenous local-to-unity parameters.  The pooled estimator is shown to have a potentially severe bias and a robust median based procedure is proposed instead.  This median estimator has a small asymptotic bias that can be eliminated almost completely by a bias correction procedure.  The asymptotic normality of the estimator is proved.  The methods proposed in the paper provide a useful way of summarizing the persistence in a panel data set, as well as a complement to more traditional panel unit root tests"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 6/1/2006.

Includes bibliographical references.

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