Iterated Feasible Generalized Least-Squares Estimation of Augmented Dynamic Panel Data Models

DOI10.1198/JBES.2009.08106zbMath1214.62061OpenAlexW1979162412MaRDI QIDQ5392717

Robert F. Phillips

Publication date: 13 April 2011

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2009.08106

zbMATH Keywords

generalized method of momentsfixed effectsquasi maximum likelihooderror componentlinear projection

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05)

Related Items (4)

On quasi maximum-likelihood estimation of dynamic panel data models ⋮ A semiparametric latent factor model for large scale temporal data with heteroscedasticity ⋮ Quasi maximum likelihood estimation of dynamic panel data models ⋮ Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models

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