Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions
DOI10.1016/J.JECONOM.2012.11.004zbMATH Open1443.62480OpenAlexW2159291228MaRDI QIDQ528179FDOQ528179
Authors: Hugo Kruiniger 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/62788
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fixed effectsrate of convergencelocal-to-zero asymptoticsdynamic panel datainitial conditionssingular information matrixgeneralized method of moments (GMM)quasi maximum likelihood (QML)weak moment conditions
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Asymptotic Statistics
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- Consistent Estimates Based on Partially Consistent Observations
- Another look at the instrumental variable estimation of error-components models
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- 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
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- A finite sample correction for the variance of linear efficient two-step GMM estimators
- GMM estimation and inference in dynamic panel data models with persistent data
- Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation
- Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
- Likelihood-based inference with singular information matrix
- The weak instrument problem of the system GMM estimator in dynamic panel data models
- Small sample bias properties 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
- First difference transformation in panel VAR models: robustness, estimation, and inference
- Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels
- 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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