A note on transformed likelihood approach in linear dynamic panel models

DOI10.1007/S10260-010-0158-4zbMath1232.62102OpenAlexW1983576412MaRDI QIDQ719008

Luca Grassetti

Publication date: 27 September 2011

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-010-0158-4

zbMATH Keywords

fixed effect modelrandom effects modeltransformed likelihood approach

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35) Statistical tables (62Q05)

Related Items (6)

Statistical inference for panel dynamic simultaneous equations models ⋮ Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both \(N\) and \(T\) are large ⋮ Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation ⋮ First difference transformation in panel VAR models: Robustness, estimation, and inference ⋮ First difference or forward demeaning: Implications for the method of moments estimators ⋮ Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity

Uses Software

• OxMetrics
• R
• S-PLUS
• MASS (R)
• nlme
• SemiPar
• Ox
• MEMSS

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Initial conditions and moment restrictions in dynamic panel data models
• Another look at the instrumental variable estimation of error-components models
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Statistical Analysis of Financial Data in S-Plus
• Instrumental Variables Regression with Weak Instruments
• Semiparametric Regression
• What are the advantages of MCMC based inference in latent variable models?
• Mixed-Effects Models in S and S-PLUS
• Orthogonal Parameters and Panel Data
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

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