Decision Theory Applied to a Linear Panel Data Model

DOI10.3982/ECTA6869zbMath1160.91320OpenAlexW2170926416MaRDI QIDQ3627278

Marcelo J. Moreira, Gary Chamberlain

Publication date: 18 May 2009

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta6869

zbMATH Keywords

minimaxinvariancefixed effectsautoregressionincidental parameterscorrelated random effects

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Decision theory (91B06) Compound decision problems in statistical decision theory (62C25)

Related Items (6)

Likelihood approach to dynamic panel models with interactive effects ⋮ Second-order corrected likelihood for nonlinear panel models with fixed effects ⋮ Likelihood inference and the role of initial conditions for the dynamic panel data model ⋮ Minimum distance approach to inference with many instruments ⋮ Robust likelihood estimation of dynamic panel data models ⋮ A maximum likelihood method for the incidental parameter problem

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