A0900
Title: Regression with lagged variables in heterogeneous environment
Authors: Yufei Li - Kings College London (United Kingdom) [presenting]
Liudas Giraitis - Queen Mary University of London (United Kingdom)
George Kapetanios - Kings College London (United Kingdom)
Abstract: The recent work on regression modelling that permits for general heterogeneity is extended to allow for lagged dependent variables. The purpose is to explore to what extent the generality of the setting, the simplicity of assumptions, and the ease of computation of standard errors can be preserved. Theoretical properties of regression estimation and inference is accompanied by Monte Carlo experiments and an empirical application.
