Title of article
First-difference estimator for panel censored-selection models
Author/Authors
Lee، Myoung-jae نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
-42
From page
43
To page
0
Abstract
We study how processes with infrequent regime switching may generate a long memory effect in the autocorrelation function. In such a case, the use of a strong fractional I(d) model for economic or financial analysis may lead to spurious results.
Keywords
Censored model , Panel data , Related-effect , Sample selection
Journal title
Economics Letters
Serial Year
2001
Journal title
Economics Letters
Record number
21614
Link To Document