First difference maximum likelihood and dynamic panel estimation

DOI10.1016/j.jeconom.2013.03.003zbMath1283.62183MaRDI QIDQ2440332

Peter C. B. Phillips, Chirok Han

Publication date: 18 March 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.03.003

zbMATH Keywords

likelihood; efficiency; asymptote; dynamic panel; bounded support; quartic equation; first difference MLE; restricted extremum estimator

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B82: Statistical methods; economic indices and measures

Related Items

DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY, X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION, ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS, First difference transformation in panel VAR models: Robustness, estimation, and inference, The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression, Half-panel jackknife estimation for dynamic panel models, Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity, The factor analytical approach in near unit root interactive effects panels

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