Uniform analysis of Panel AR(1) Model by Local-to-Unity

Abstract

This paper proposes a uniform inference method for the autoregressive coefficient of a dynamic panel model. Our method overcomes the asymptotic discontinuity of bias-corrected maximum livelihood (ML) between stationary and unit root parameter space. The proposed self-normalized t-statistic can be used to construct a confidence set that provides a uniformly valid asymptotic coverage over the whole parameter space.

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Python script for applying the proposed method/simulation in the paper is available at my github repo: monchewharry/PaperLocal2Unity

Dingxian Cao
Dingxian Cao
Ph.D. Candidate in Econometrics

My research interests include High-dimensional Non-asymptotics and Uniform analysis of possible persistent Panel AR(1) model.