Fixed-Effects Dynamic Panel Models, a Factor Analytical Method

DOI10.3982/ECTA9409zbMath1274.62404OpenAlexW2145307053MaRDI QIDQ2857046

Jushan Bai

Publication date: 31 October 2013

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta9409

zbMATH Keywords

efficiencyrobust estimationheteroskedasticityfixed-\(T\) and large-\(T\) dynamic panelsincidental parameters in meansincidental parameters in variances

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

Related Items (16)

The factor analytical approach in near unit root interactive effects panels ⋮ The factor analytical approach in trending near unit root panels ⋮ Indirect inference estimation of dynamic panel data models ⋮ Likelihood approach to dynamic panel models with interactive effects ⋮ Identification-Robust Inference With Simulation-Based Pseudo-Matching ⋮ Likelihood inference and the role of initial conditions for the dynamic panel data model ⋮ Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels ⋮ Panel models with interactive effects ⋮ Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models ⋮ Exact and asymptotic tests on a factor model in low and large dimensions with applications ⋮ Fixed-effects dynamic spatial panel data models and impulse response analysis ⋮ Robust likelihood estimation of dynamic panel data models ⋮ Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation ⋮ Fixed T dynamic panel data estimators with multifactor errors ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^† ⋮ Estimation of time-varying coefficient dynamic panel data models

This page was built for publication: Fixed-Effects Dynamic Panel Models, a Factor Analytical Method