Decision Theory Applied to a Linear Panel Data Model

DOI10.3982/ECTA6869MaRDI QIDQ3627278zbMATH OpenOpenAlexFDO

Authors Gary Chamberlain, Marcelo J. Moreira

Publication date 18 May 2009

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta6869

zbMATH Keywords

autoregressioncorrelated random effectsfixed effectsincidental parametersinvarianceminimax

Mathematics Subject Classification ID

Compound decision problems in statistical decision theory (62C25) Nonparametric estimation (62G05) Decision theory (91B06)

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Cited in

(12)

• A maximum likelihood method for the incidental parameter problem
• Minimum distance approach to inference with many instruments
• Robust likelihood estimation of dynamic panel data models
• Second-order corrected likelihood for nonlinear panel models with fixed effects
• Likelihood inference and the role of initial conditions for the dynamic panel data model
• Model selection in the presence of incidental parameters
• Comment on Decision Theory Applied to an Instrumental Variables Model
• Does reference prior alleviate the incidental parameter problem?
• A POSTERIORI RATEMAKING WITH PANEL DATA
• Decision Theory Applied to an Instrumental Variables Model
• Likelihood approach to dynamic panel models with interactive effects
• Nuclear norm regularized estimation of panel regression models

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