{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T02:26:36Z","timestamp":1792808796239,"version":"4.5.0"},"reference-count":19,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2015,9,22]],"date-time":"2015-09-22T00:00:00Z","timestamp":1442880000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":["www.cambridge.org"],"crossmark-restriction":true},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2018,4]]},"abstract":"<jats:p>Limit theory is developed for the dynamic panel IV estimator in the presence of an autoregressive root near unity. In the unit root case, Anderson\u2013Hsiao lagged variable instruments satisfy orthogonality conditions but are well known to be irrelevant. For a fixed time series sample size (<jats:italic>T<\/jats:italic>) IV is inconsistent and approaches a shifted Cauchy-distributed random variate as the cross-section sample size<jats:italic>n<\/jats:italic>\u2192 \u221e. But when<jats:italic>T<\/jats:italic>\u2192 \u221e, either for fixed<jats:italic>n<\/jats:italic>or as<jats:italic>n<\/jats:italic>\u2192 \u221e, IV is<jats:inline-formula><jats:alternatives><jats:graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" orientation=\"portrait\" mime-subtype=\"gif\" mimetype=\"image\" position=\"float\" xlink:type=\"simple\" xlink:href=\"S0266466615000298_inline1\"\/><jats:tex-math>$\\sqrt T$<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula>consistent and its limit distribution is a ratio of random variables that converges to twice a standard Cauchy as<jats:italic>n<\/jats:italic>\u2192 \u221e. In this case, the usual instruments are uncorrelated with the regressor but irrelevance does not prevent consistent estimation. The same Cauchy limit theory holds sequentially and jointly as (<jats:italic>n<\/jats:italic>,<jats:italic>T<\/jats:italic>) \u2192 \u221e with no restriction on the divergence rates of<jats:italic>n<\/jats:italic>and<jats:italic>T.<\/jats:italic>When the common autoregressive root<jats:inline-formula><jats:alternatives><jats:graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" orientation=\"portrait\" mime-subtype=\"gif\" mimetype=\"image\" position=\"float\" xlink:type=\"simple\" xlink:href=\"S0266466615000298_inline2\"\/><jats:tex-math>$\\rho = 1 + c\/\\sqrt T$<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula>the panel comprises a collection of mildly integrated time series. In this case, the IV estimator is<jats:inline-formula><jats:alternatives><jats:graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" orientation=\"portrait\" mime-subtype=\"gif\" mimetype=\"image\" position=\"float\" xlink:type=\"simple\" xlink:href=\"S0266466615000298_inline3\"\/><jats:tex-math>$\\sqrt n$<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula>consistent for fixed<jats:italic>T<\/jats:italic>and<jats:inline-formula><jats:alternatives><jats:graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" orientation=\"portrait\" mime-subtype=\"gif\" mimetype=\"image\" position=\"float\" xlink:type=\"simple\" xlink:href=\"S0266466615000298_inline4\"\/><jats:tex-math>$\\sqrt {nT}$<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula>consistent with limit distribution<jats:italic>N<\/jats:italic>(0, 4) when (<jats:italic>n<\/jats:italic>,<jats:italic>T<\/jats:italic>) \u2192 \u221e sequentially or jointly. These results are robust for common roots of the form<jats:italic>\u03c1<\/jats:italic>= 1+<jats:italic>c<\/jats:italic>\/<jats:italic>T<\/jats:italic><jats:sup><jats:italic>\u03b3<\/jats:italic><\/jats:sup>for all<jats:italic>\u03b3<\/jats:italic>\u2208 (0, 1) and joint convergence holds. Limit normality holds but the variance changes when<jats:italic>\u03b3<\/jats:italic>= 1. When<jats:italic>\u03b3<\/jats:italic>&gt; 1 joint convergence fails and sequential limits differ with different rates of convergence. These findings reveal the fragility of conventional Gaussian IV asymptotics to persistence in dynamic panel regressions.<\/jats:p>","DOI":"10.1017\/s0266466615000298","type":"journal-article","created":{"date-parts":[[2015,9,22]],"date-time":"2015-09-22T05:47:03Z","timestamp":1442900823000},"page":"253-276","update-policy":"https:\/\/doi.org\/10.1017\/policypage","source":"Crossref","is-referenced-by-count":17,"title":["DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY"],"prefix":"10.1017","volume":"34","author":[{"given":"PETER C. B.","family":"PHILLIPS","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2015,9,22]]},"reference":[{"key":"S0266466615000298_ref14","unstructured":"Phillips P.C.B . (2016) Online Supplement to \u2018Dynamic Panel Anderson-Hsiao Estimation with Roots Near Unity\u2019, Cowles Foundation, Yale University."},{"key":"S0266466615000298_ref18","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00070"},{"key":"S0266466615000298_ref2","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(82)90095-1"},{"key":"S0266466615000298_ref17","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.08.002"},{"key":"S0266466615000298_ref16","doi-asserted-by":"publisher","DOI":"10.2307\/2297545"},{"key":"S0266466615000298_ref4","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00344"},{"key":"S0266466615000298_ref15","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2014.11.030"},{"key":"S0266466615000298_ref6","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466613000170"},{"key":"S0266466615000298_ref5","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.03.003"},{"key":"S0266466615000298_ref3","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00009-8"},{"key":"S0266466615000298_ref9","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00498.x"},{"key":"S0266466615000298_ref11","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/74.3.535"},{"key":"S0266466615000298_ref13","unstructured":"Phillips P.C.B . (2013) Econometrics IV: Take Home Examination, Yale University (http:\/\/korora.econ.yale.edu\/phillips\/teach\/ex\/553a-ex13.pdf)."},{"key":"S0266466615000298_ref12","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600012408"},{"key":"S0266466615000298_ref7","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608090531"},{"key":"S0266466615000298_ref19","unstructured":"Qiu Yinjia (Jeff) (2014) Take Home Examination Solution to Phillips (2013)."},{"key":"S0266466615000298_ref8","doi-asserted-by":"crossref","unstructured":"Magdalinos T. & Phillips P.C.B. (2009) Limit theory for cointegrated systems with moderately integrated and moderately explosive regressors 25, 482\u2013526.","DOI":"10.1017\/S0266466608090154"},{"key":"S0266466615000298_ref1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1981.10477691"},{"key":"S0266466615000298_ref10","doi-asserted-by":"publisher","DOI":"10.2307\/1913237"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466615000298","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,30]],"date-time":"2019-08-30T17:10:40Z","timestamp":1567185040000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466615000298\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,9,22]]},"references-count":19,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2018,4]]}},"alternative-id":["S0266466615000298"],"URL":"https:\/\/doi.org\/10.1017\/s0266466615000298","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,9,22]]},"assertion":[{"value":"Copyright \u00a9 Cambridge University Press 2015\u00a0","name":"license","label":"License","group":{"name":"copyright_and_licensing","label":"Copyright and Licensing"}}]}}