Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity

DOI10.1016/j.jeconom.2015.03.042zbMath1337.62265OpenAlexW3122162646MaRDI QIDQ2354856

M. Hashem Pesaran, Kazuhiko Hayakawa

Publication date: 27 July 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.042

zbMATH Keywords

Monte Carlo simulationdynamic panelsGMM estimationcross-sectional heteroskedasticitytransformed MLE

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (6)

Improved GMM estimation of panel VAR models ⋮ Half-panel jackknife estimation for dynamic panel models ⋮ Dynamic firm performance and estimator choice: a comparison of dynamic panel data estimators ⋮ Finite sample properties of the GMM Anderson–Rubin test ⋮ Exponential class of dynamic binary choice panel data models with fixed effects ⋮ An augmented Anderson–Hsiao estimator for dynamic short-T panels^†

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