First difference maximum likelihood and dynamic panel estimation
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Publication:2440332
DOI10.1016/j.jeconom.2013.03.003zbMath1283.62183OpenAlexW2166349063MaRDI 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
likelihoodefficiencyasymptotedynamic panelbounded supportquartic equationfirst difference MLErestricted extremum estimator
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)
Related Items (8)
The factor analytical approach in near unit root interactive effects panels ⋮ Half-panel jackknife estimation for dynamic panel models ⋮ DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY ⋮ The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression ⋮ ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS ⋮ X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION ⋮ First difference transformation in panel VAR models: Robustness, estimation, and inference ⋮ Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
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