Fixed T dynamic panel data estimators with multifactor errors

DOI10.1080/00927872.2016.1178875zbMath1490.62454OpenAlexW1856727413MaRDI QIDQ5862505

Artūras Juodis, Vasilis Sarafidis

Publication date: 9 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00927872.2016.1178875

zbMATH Keywords

Monte Carlo simulationmaximum likelihooddynamic panel datafactor modelfixed \(T\) consistency

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

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Uses Software

• Ox

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