On quasi maximum-likelihood estimation of dynamic panel data models

DOI10.1016/J.ECONLET.2015.10.024zbMath1398.62246arXiv1702.00662OpenAlexW2592018365MaRDI QIDQ1667945

Robert F. Phillips

Publication date: 31 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.00662

zbMATH Keywords

fixed effectsaugmented dynamic panel data modelQML estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Quasi maximum likelihood estimation of dynamic panel data models ⋮ Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models

Cites Work

• Estimation of Dynamic Models with Error Components
• Iterated Feasible Generalized Least-Squares Estimation of Augmented Dynamic Panel Data Models

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