First difference maximum likelihood and dynamic panel estimation

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

zbMATH Keywords

likelihoodefficiencyasymptotedynamic panelbounded supportquartic equationfirst difference MLErestricted extremum estimator

Mathematics Subject Classification ID

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

Cites Work

• Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model
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• On the asymptotics of constrained \(M\)-estimation
• Weak convergence and empirical processes. With applications to statistics
• DETERMINANTS OF COVARIANCE MATRICES OF DIFFERENCED AR(1) PROCESSES
• UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Asymptotic Statistics
• On the inverses of some patterned matrices arising in the theory of stationary time series
• Estimation When a Parameter is on a Boundary
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• Time Series Regression with a Unit Root
• X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Consistent Estimates Based on Partially Consistent Observations

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