Likelihood inference in an autoregression with fixed effects

DOI10.1017/S0266466615000146MaRDI QIDQ2976207zbMATH OpenOpenAlexFDO

Authors Geert Dhaene, Koen Jochmans

Publication date 28 April 2017

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466615000146

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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• An approximation to the modified profile likelihood function
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• Biases in Dynamic Models with Fixed Effects
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• Efficiency of Projected Score Methods in Rectangular Array Asymptotics
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• Identification and Lack of Identification
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• Jackknife and analytical bias reduction for nonlinear panel models.
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• Likelihood-based inference with singular information matrix
• Maximum Likelihood Estimation of Misspecified Models
• Modified profile likelihoods in models with stratum nuisance parameters
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• Orthogonal Parameters and Panel Data
• Panel Data Econometrics
• Robust Priors in Nonlinear Panel Data Models
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

Cited in

(11)

• Integrated likelihood based inference for nonlinear panel data models with unobserved effects
• Robust likelihood estimation of dynamic panel data models
• Second-order corrected likelihood for nonlinear panel models with fixed effects
• The factor analytical approach in near unit root interactive effects panels
• Integrated likelihoods in models with stratum nuisance parameters
• IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
• A portmanteau test for correlation in short panels
• An augmented Anderson–Hsiao estimator for dynamic short-T panels^†
• Empirical likelihood inference in autoregressive models with time-varying variances
• Time-specific average estimation of dynamic panel regressions
• Nuisance parameters, modified profile likelihood and Jacobian prior

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