Statistical inference for panel dynamic simultaneous equations models

DOI10.1016/j.jeconom.2015.03.031zbMath1337.62371OpenAlexW2044296627MaRDI QIDQ888331

Qiankun Zhou, Cheng Hsiao

Publication date: 30 October 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.031

zbMATH Keywords

instrumental variablegeneralized method of momentsmaximum likelihoodmulti-dimensional asymptoticspanel dynamic simultaneous equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS ⋮ Challenges for Panel Financial Analysis ⋮ Frontiers in time series and financial econometrics: an overview ⋮ Panel models with interactive effects ⋮ Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models ⋮ 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

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