Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models

DOI10.1016/j.jeconom.2018.04.005zbMath1452.62919OpenAlexW2793907099WikidataQ129411638 ScholiaQ129411638MaRDI QIDQ1792483

Cheng Hsiao, Qiankun Zhou

Publication date: 12 October 2018

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.04.005

zbMATH Keywords

initial valuesprojection methodindividual effectsdynamic panel modelsconditional or unconditional likelihood approach

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture ⋮ Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation ⋮ Bayesian estimation of dynamic panel data gravity model

Cites Work

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• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• First difference or forward demeaning: Implications for the method of moments estimators
• Maximum Likelihood Estimation of Misspecified Models

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