The limited information maximum likelihood approach to dynamic panel structural equation models

DOI10.1007/S10463-013-0438-5MaRDI QIDQ2255166zbMATH OpenOpenAlexFDO

Authors Kentaro Akashi, Naoto Kunitomo

Publication date 6 February 2015

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-013-0438-5

zbMATH Keywords

optimalityLIMLmany orthogonal conditionsdynamic panel structural equationforward and backward filters

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Production models (90B30)

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Cites work

• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• An optimal modification of the LIML estimation for many instruments and persistent hetero\-sce\-dasticity
• Analysis of panel data
• Another look at the instrumental variable estimation of error-components models
• Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Estimating Vector Autoregressions with Panel Data
• Estimation of Dynamic Models with Error Components
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Formulation and estimation of dynamic models using panel data
• GMM Estimation with persistent panel data: an application to production functions
• On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• Panel Data Econometrics
• Some properties of the LIML estimator in a dynamic panel structural equation
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators

Cited in

(8)

• Double filter instrumental variable estimation of panel data models with weakly exogenous variables
• Challenges for panel financial analysis
• The LIML and Related Estimators of an Equation with Moving Average Disturbances
• LIML in the static linear panel data model
• Some properties of the LIML estimator in a dynamic panel structural equation
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Statistical inference for panel dynamic simultaneous equations models
• THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS

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