Likelihood inference in an autoregression with fixed effects

DOI10.1017/S0266466615000146MaRDI QIDQ2976207zbMATH OpenOpenAlexFDO

Authors Geert Dhaene, Koen Jochmans

Publication date 28 April 2017

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466615000146

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cites work

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Cited in

(10)

• Second-order corrected likelihood for nonlinear panel models with fixed effects
• IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
• Empirical likelihood inference in autoregressive models with time-varying variances
• Integrated likelihoods in models with stratum nuisance parameters
• An augmented Anderson–Hsiao estimator for dynamic short-T panels^†
• Integrated likelihood based inference for nonlinear panel data models with unobserved effects
• Time-specific average estimation of dynamic panel regressions
• A portmanteau test for correlation in short panels
• The factor analytical approach in near unit root interactive effects panels
• Robust likelihood estimation of dynamic panel data models

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