Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance

DOI10.1016/0304-4076(80)90090-1zbMath0442.62072OpenAlexW2066860374MaRDI QIDQ1143732

Nicholas M. Kiefer

Publication date: 1980

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(80)90090-1

zbMATH Keywords

conditional likelihoodestimation of fixed effect modelstime series of cross-sections

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (18)

Difference in difference meets generalized least squares: higher order properties of hypotheses tests ⋮ Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model ⋮ Selection corrections for panel data models under conditional mean independence assumptions ⋮ Partial GLS regression ⋮ Likelihood approach to dynamic panel models with interactive effects ⋮ Semiparametric-efficient estimation of AR(1) panel data models. ⋮ Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects ⋮ The frisch-waugh theorem and generalized least squares ⋮ Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation ⋮ GMM estimation of linear panel data models with time-varying individual effects ⋮ Omitted variables in multilevel models ⋮ ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA ⋮ Multilevel modeling with correlated effects ⋮ Efficient estimation of panel data models with strictly exogenous explanatory variables ⋮ X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION ⋮ Optimal data collection design in machine learning: the case of the fixed effects generalized least squares panel data model ⋮ A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS ⋮ Cook's distance in linear longitudinal models

Cites Work

• On the Pooling of Time Series and Cross Section Data
• The Use of Error Components Models in Combining Cross Section with Time Series Data
• The Consistency of Nonlinear Regressions
• Linear Statistical Inference and its Applications
• Consistent Estimates Based on Partially Consistent Observations
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