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Inconsistency of the OLS estimator of the partial adjustment-adaptive expectations model

โœ Scribed by H.E. Doran; W.E. Griffiths


Book ID
107949785
Publisher
Elsevier Science
Year
1978
Tongue
English
Weight
669 KB
Volume
7
Category
Article
ISSN
0304-4076

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This paper derives the joint moment generating function of two quadratic forms appearing in the OLS estimator from a dynamic panel data model. The result is then used to investigate the effect of the cross-section dimension on the asymptotic bias. (~