ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS

DOI10.1017/S0266466619000069MaRDI QIDQ5221308zbMATH OpenOpenAlexFDO

Authors Carlos I. Hoyos Velasco, Peter M. Robinson

Publication date 25 March 2020

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466619000069

zbMATH Keywords

parametric inference

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20)

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Cites work

• Adaptive maximum likelihood estimators of a location parameter
• Analysis of panel data
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Asymptotic normal tests for integration in panels with cross-dependent units
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Consistent Estimates Based on Partially Consistent Observations
• Efficient inference on fractionally integrated panel data models with fixed effects
• Estimation of Dynamic Models with Error Components
• First difference maximum likelihood and dynamic panel estimation
• Gaussian pseudo-maximum likelihood estimation of fractional time series models
• How informative is the initial condition in the dynamic panel model with fixed effects?
• Identifying Distributional Characteristics in Random Coefficients Panel Data Models
• Incidental trends and the power of panel unit root tests
• Inference on trending panel data
• Likelihood inference for a nonstationary fractional autoregressive model
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• On large-sample estimation for the mean of a stationary random sequence
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The persistent-transitory representation for earnings processes
• The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models

Cited in

(9)

• Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
• Indirect inference estimation of dynamic panel data models
• Likelihood inference and the role of initial conditions for the dynamic panel data model
• Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence
• Panel experiments and dynamic causal effects: A finite population perspective
• Parametric estimation of long memory in factor models
• Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
• Estimating dynamic panel data. A practical approach to perform long panels
• A framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables

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