Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both \(N\) and \(T\) are large

DOI10.1007/s10260-016-0355-xzbMath1361.62053OpenAlexW2310552980MaRDI QIDQ513770

Qiankun Zhou, Cheng Hsiao

Publication date: 7 March 2017

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-016-0355-x

zbMATH Keywords

maximum likelihood estimationdynamic panel modellong difference

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)

Cites Work

• Another look at the instrumental variable estimation of error-components models
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large
• A note on transformed likelihood approach in linear dynamic panel models
• Formulation and estimation of dynamic models using panel data
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Analysis of Panel Data
• Estimation of Dynamic Models with Error Components
• The analytic inversion of any finite symmetric tridiagonal matrix
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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