On quasi maximum-likelihood estimation of dynamic panel data models

DOI10.1016/J.ECONLET.2015.10.024MaRDI QIDQ1667945zbMATH OpenOpenAlexFDO

Authors Robert F. Phillips

Publication date 31 August 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1702.00662

zbMATH Keywords

fixed effectsaugmented dynamic panel data modelQML estimation

Mathematics Subject Classification ID

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

Abstract: This paper establishes the almost sure convergence and asymptotic normality of levels and differenced quasi maximum-likelihood (QML) estimators of dynamic panel data models. The QML estimators are robust with respect to initial conditions, conditional and time-series heteroskedasticity, and misspecification of the log-likelihood. The paper also provides an ECME algorithm for calculating levels QML estimates. Finally, it uses Monte Carlo experiments to compare the finite sample performance of levels and differenced QML estimators, the differenced GMM estimator, and the system GMM estimator. In these experiments the QML estimators usually have smaller --- typically substantially smaller --- bias and root mean squared errors than the panel data GMM estimators.

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Cites work

• Estimation of Dynamic Models with Error Components
• Iterated feasible generalized least-squares estimation of augmented dynamic panel data models

Cited in

(6)

• Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
• Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model
• Quasi maximum likelihood estimation of dynamic panel data models
• Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions

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