LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS

DOI10.1017/S0266466615000146zbMath1441.62668OpenAlexW3121917787MaRDI QIDQ2976207

Geert Dhaene, Koen Jochmans

Publication date: 28 April 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466615000146

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) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)

Related Items (9)

The factor analytical approach in near unit root interactive effects panels ⋮ Time-specific average estimation of dynamic panel regressions ⋮ IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS ⋮ Second-order corrected likelihood for nonlinear panel models with fixed effects ⋮ Integrated likelihoods in models with stratum nuisance parameters ⋮ Integrated likelihood based inference for nonlinear panel data models with unobserved effects ⋮ Robust likelihood estimation of dynamic panel data models ⋮ A PORTMANTEAU TEST FOR CORRELATION IN SHORT PANELS ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

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