Estimation of heterogeneous autoregressive parameters with short panel data

DOI10.1016/J.JECONOM.2015.05.001MaRDI QIDQ2354865zbMATH OpenOpenAlexFDO

Authors Sophocles Mavroeidis, Yuya Sasaki, Ivo Welch

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.2015.05.001

zbMATH Keywords

employment dynamicsheterogeneous autoregressive parametersinitial conditionsmaximum likelihoodpanel data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
• Bayes estimation of short-run coefficients in dynamic panel data models.
• Bounds on Parameters in Panel Dynamic Discrete Choice Models
• Consistent Estimates Based on Partially Consistent Observations
• Estimating long-run relationships from dynamic heterogeneous panels
• Estimation of panel data models with parameter heterogeneity when group membership is unknown
• How informative is the initial condition in the dynamic panel model with fixed effects?
• scientific article; zbMATH DE number 3984433 (Why is no real title available?)
• Initial conditions and moment restrictions in dynamic panel data models
• Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Testing slope homogeneity in large panels
• The incidental parameter problem since 1948

Cited in

(6)

• Panel data analysis with heterogeneous dynamics
• Estimating linearized heterogeneous agent models using panel data
• Dynamic binary outcome models with maximal heterogeneity
• A Note on Dynamic Modelling from Short and Heterogeneous Pseudo Panels
• Orthogonal Parameters and Panel Data
• Cross-section asymptotic for random-effects panel data models with autoregressive errors

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