Quasi maximum likelihood estimation of dynamic panel data models

DOI10.1080/03610926.2017.1366521OpenAlexW2748899686MaRDI QIDQ5154051

Robert F. Phillips

Publication date: 1 October 2021

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.00662

zbMATH Keywords

fixed effectsaugmented dynamic panel data modeldifferenced QMLlevels QML

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

• Unnamed Item
• Unnamed Item
• Initial conditions and moment restrictions in dynamic panel data models
• Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
• Estimation of a generalized random-effects model: some ECME algorithms and Monte Carlo evidence
• Multivariate regression models for panel data
• On quasi maximum-likelihood estimation of dynamic panel data models
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• On Computing Maximum-Likelihood Estimates of the Unbalanced Two-Way Random-Effects Model
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• The weak instrument problem of the system GMM estimator in dynamic panel data models
• Estimation of Dynamic Models with Error Components
• Fast EM-type Implementations for Mixed Effects Models
• The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
• Iterated Feasible Generalized Least-Squares Estimation of Augmented Dynamic Panel Data Models
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

This page was built for publication: Quasi maximum likelihood estimation of dynamic panel data models