GQL estimation in linear dynamic models for panel data

DOI10.1080/00949655.2011.625555zbMath1348.62221OpenAlexW2125960700MaRDI QIDQ4922654

Bingrui Sun, Brajendra Chandra Sutradhar

Publication date: 3 June 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.625555

zbMATH Keywords

efficiencylinear dynamic modelunknown error distributiongeneralized quasi-likelihood (GQL)normality-based weight matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Generalized linear models (logistic models) (62J12)

Related Items (3)

BINMA(1) model with COM-Poisson innovations: Estimation and application ⋮ Modelling with dispersed bivariate moving average processes ⋮ Modeling longitudinal INMA(1) with COM-Poisson innovation under non-stationarity: application to medical data

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Formulation and estimation of dynamic models using panel data
• An overview on regression models for discrete longitudinal responses
• Quasi-likelihood functions
• Robust estimation in generalised linear mixed models
• Instrumental-Variable Estimation of an Error-Components Model
• Panel Data and Unobservable Individual Effects
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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