IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large

DOI10.1016/j.jeconom.2015.01.008zbMath1337.62370OpenAlexW3121627515MaRDI QIDQ494404

Junwei Zhang, Cheng Hsiao

Publication date: 1 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.01.008

zbMATH Keywords

asymptotic biasMLEGMMIVlarge \(N, T\)

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)

Related Items

JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS ⋮ Dynamic panels with threshold effect and endogeneity ⋮ On estimation of two-dimensional dynamic panel model with confounders ⋮ Statistical inference for panel dynamic simultaneous equations models ⋮ Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both \(N\) and \(T\) are large ⋮ Panel models with interactive effects ⋮ Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models ⋮ Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation ⋮ First difference or forward demeaning: Implications for the method of moments estimators ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

Cites Work

• Unnamed Item
• Another look at the instrumental variable estimation of error-components models
• Estimation of dynamic panel data models with both individual and time-specific effects
• Formulation and estimation of dynamic models using panel data
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
• Estimation of Dynamic Models with Error Components
• The analytic inversion of any finite symmetric tridiagonal matrix
• Linear Regression Limit Theory for Nonstationary Panel Data
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Linear Statistical Inference and its Applications
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations