Estimation of dynamic panel data models with both individual and time-specific effects

DOI10.1016/j.jspi.2008.03.009zbMath1141.62094OpenAlexW2079773817MaRDI QIDQ928906

Cheng Hsiao, A. Kamil Tahmiscioglu

Publication date: 11 June 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.03.009

zbMATH Keywords

MLEGMMdynamic panel data modelsbias adjusted estimatortwo-way additive effects

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05)

Related Items (8)

Panel data analysis -- advantages and challenges (with comments and rejoinder) ⋮ Challenges for Panel Financial Analysis ⋮ A functional connectivity approach for modeling cross-sectional dependence with an application to the estimation of hedonic housing prices in Paris ⋮ IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ On the asymptotic optimality of the LIML estimator with possibly many instruments ⋮ THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE ⋮ Maximum likelihood estimation of dynamic panel threshold models

Cites Work

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• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Estimation of Dynamic Models with Error Components
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• A Comparative Study of Alternative Estimators in a Distributed Lag Model
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Consistent Estimates Based on Partially Consistent Observations

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