Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions

DOI10.1016/j.jeconom.2012.11.004zbMath1443.62480OpenAlexW2159291228MaRDI QIDQ528179

Hugo Kruiniger

Publication date: 12 May 2017

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

Full work available at URL: http://hdl.handle.net/10419/62788

zbMATH Keywords

rate of convergencefixed effectsinitial conditionsdynamic panel datalocal-to-zero asymptoticssingular information matrixgeneralized method of moments (GMM)quasi maximum likelihood (QML)weak moment conditions

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 (9)

Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels ⋮ Estimation of dynamic panel data models with a lot of heterogeneity ⋮ Backward mean transformation in unit root panel data models ⋮ On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root ⋮ Quasi maximum likelihood estimation of dynamic panel data models ⋮ The asymptotic properties of GMM and indirect inference under second-order identification ⋮ First difference transformation in panel VAR models: Robustness, estimation, and inference ⋮ Fixed T dynamic panel data estimators with multifactor errors ⋮ Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity

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