Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods

DOI10.2307/1912110zbMATH Open0523.62094OpenAlexW2579590739MaRDI QIDQ3673915FDOQ3673915

Authors:

Publication date: 1983

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912110

zbMATH Keywords

identificationpanel datadynamic random effects modelsLIML proceduressimultaneous equations estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Economic growth models (91B62)

Cited In (36)

• A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors
• Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
• A two-stage estimation for panel data models with grouped fixed effects
• Panel data analysis -- advantages and challenges (with comments and rejoinder)
• QML estimation of dynamic panel data models with spatial errors
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Reprint of: Initial conditions and moment restrictions in dynamic panel data models
• On the efficient estimation of simultaneous equations with covariance restrictions
• A transformation that will circumvent the problem of autocorrelation in an error-component model
• Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels
• Parameters of interest, nuisance parameters and orthogonality conditions. An application to autoregressive error component models
• Nonstationary panel data analysis: an overview of some recent developments
• Efficient estimation and variable selection in dynamic panel data partially linear varying coefficient models with incidental parameter
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation
• Statistical inference for panel dynamic simultaneous equations models
• Steele's response to Haynes and Brown
• Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity
• Regularization in dynamic random‐intercepts models for analysis of longitudinal data
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• Panel models with interactive effects
• Firms' fundamentals, macroeconomic variables and quarterly stock prices in the US
• IV, GMM or likelihood approach to estimate dynamic panel models when either \(N\) or \(T\) or both are large
• Family planning, gender differences and infant mortality: evidence from Uttar Pradesh, India
• Another look at the instrumental variable estimation of error-components models
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
• Feedback in panel data models
• Initial conditions and moment restrictions in dynamic panel data models
• Efficient estimation of models for dynamic panel data
• Assessing the productive benefits of nutrition and health: An integrated human capital approach
• Health and wages: Evidence on men and women in urban Brazil
• Nutritional status and the allocation of time in Rwandese households
• The asymptotic properties of the system GMM estimator in dynamic panel data models when both \(N\) and \(T\) are large
• Likelihood approach to dynamic panel models with interactive effects
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION

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