Juodis, A. and Poldermans, R. (2021). Backward mean transformation in unit root panel data models Economics Letters, 201.
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Affiliated author
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Publication year2021
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JournalEconomics Letters
The effectiveness of an orthogonal to backward mean transformation is investigated in the context of a non-stationary panel data model. It is shown that the corresponding estimator is as efficient as Transformed Maximum Likelihood when the autoregressive parameter is equal to unity. Furthermore, a recently introduced bias-corrected version is almost as efficient as the Pooled Least Squares estimator.