This note considers parameter estimation for panel vector autoregressive models with intercorrelation. Conditional least squares estimators are derived and the asymptotic normality is established. A simulation is carr...This note considers parameter estimation for panel vector autoregressive models with intercorrelation. Conditional least squares estimators are derived and the asymptotic normality is established. A simulation is carried out for illustration.展开更多
基金supported by a grant from the Research Grants Council of Hong KongAlso the work of the first author was supported in part by project 07JJD790154Youth Talent Foundation of Zhejiang Gongshang University.
文摘This note considers parameter estimation for panel vector autoregressive models with intercorrelation. Conditional least squares estimators are derived and the asymptotic normality is established. A simulation is carried out for illustration.
