Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
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Cites work
- scientific article; zbMATH DE number 854558 (Why is no real title available?)
- A finite sample correction for the variance of linear efficient two-step GMM estimators
- Analysis of Covariance with Qualitative Data
- Another look at the instrumental variable estimation of error-components models
- Asymptotic Statistics
- Biases in Dynamic Models with Fixed Effects
- Consistent Estimates Based on Partially Consistent Observations
- Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
- Efficient estimation of models for dynamic panel data
- Formulation and estimation of dynamic models using panel data
- GMM estimation and inference in dynamic panel data models with persistent data
- GMM with Weak Identification
- Initial conditions and moment restrictions in dynamic panel data models
- Likelihood-based inference with singular information matrix
- Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
- Small sample bias properties of the system GMM estimator in dynamic panel data models
- Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
- The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
- The weak instrument problem of the system GMM estimator in dynamic panel data models
Cited in
(12)- Estimation of dynamic panel data models with a lot of heterogeneity
- On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root
- The asymptotic properties of GMM and indirect inference under second-order identification
- Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels
- First difference transformation in panel VAR models: robustness, estimation, and inference
- Fixed T dynamic panel data estimators with multifactor errors
- Asymptotics and bootstrap for random-effects panel data transformation models
- Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
- Backward mean transformation in unit root panel data models
- An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model
- Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
- Quasi maximum likelihood estimation of dynamic panel data models
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