Estimation of time-varying coefficient dynamic panel data models

DOI10.1080/03610926.2018.1476704OpenAlexW2612576825WikidataQ128878387 ScholiaQ128878387MaRDI QIDQ5866069

Kazuhiko Hayakawa, Jie Hou

Publication date: 10 June 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2018.1476704

zbMATH Keywords

GMMdynamic panel data modelMLtime-varying parameter

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Estimating Vector Autoregressions with Panel Data
• Initial conditions and moment restrictions in dynamic panel data models
• Another look at the instrumental variable estimation of error-components models
• A finite sample correction for the variance of linear efficient two-step GMM estimators
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Fixed-Effects Dynamic Panel Models, a Factor Analytical Method
• Biases in Dynamic Models with Fixed Effects
• Estimation of Dynamic Models with Error Components
• Panel Data Econometrics
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

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