Likelihood inference in an autoregression with fixed effects
DOI10.1017/S0266466615000146zbMATH Open1441.62668OpenAlexW3121917787MaRDI QIDQ2976207FDOQ2976207
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
Recommendations
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)
Cites Work
- Maximum Likelihood Estimation of Misspecified Models
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Modified profile likelihoods in models with stratum nuisance parameters
- Bias reduction for dynamic nonlinear panel models with fixed effects
- Biases in Dynamic Models with Fixed Effects
- An approximation to the modified profile likelihood function
- The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
- Jackknife and analytical bias reduction for nonlinear panel models.
- Consistent Estimates Based on Partially Consistent Observations
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- Initial conditions and moment restrictions in dynamic panel data models
- Efficient estimation of models for dynamic panel data
- Orthogonal Parameters and Panel Data
- Panel Data Econometrics
- A time series illustration of approximate conditional likelihood
- On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
- Identification and Lack of Identification
- Robust Priors in Nonlinear Panel Data Models
- Efficiency of Projected Score Methods in Rectangular Array Asymptotics
- Likelihood-based inference with singular information matrix
- Adjustments of the profile likelihood from a new perspective
- Estimating equations in the presence of a nuisance parameter
- EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS
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
This page was built for publication: Likelihood inference in an autoregression with fixed effects
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2976207)
