Recursive estimation in large panel data models: theory and practice

DOI10.1016/j.jeconom.2020.07.055OpenAlexW2600143733MaRDI QIDQ2236876

Yanyan Li

Publication date: 26 October 2021

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

Full work available at URL: http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp05-17.pdf

zbMATH Keywords

nonlinear optimizationfactor modelmultiplicative structureinitial estimation

Mathematics Subject Classification ID

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

Related Items (4)

Profile GMM estimation of panel data models with interactive fixed effects ⋮ Binary response models for heterogeneous panel data with interactive fixed effects ⋮ On the two algorithms for estimating interactive fixed effects models in Bai (2009) ⋮ Factor-augmented Model for Functional Data

Cites Work

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• Nonparametric Estimation in Large Panels with Cross-Sectional Dependence
• Panel Data Models With Interactive Fixed Effects
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements
• Maximization by Parts in Likelihood Inference

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