Robust likelihood estimation of dynamic panel data models

DOI10.1016/j.jeconom.2021.03.005OpenAlexW1531287449MaRDI QIDQ2074610

Manuel Arellano, Javier Alvarez

Publication date: 10 February 2022

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

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.76.1923

zbMATH Keywords

random effectsautoregressive panel data modelsbias-corrected scoreearnings processtime series heteroskedasticity

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (6)

IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS ⋮ Indirect inference estimation of dynamic panel data models ⋮ Likelihood approach to dynamic panel models with interactive effects ⋮ Income risk inequality: Evidence from Spanish administrative records ⋮ Finite underidentification ⋮ The persistence of wages

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