A note on transformed likelihood approach in linear dynamic panel models

DOI10.1007/S10260-010-0158-4MaRDI QIDQ719008zbMATH OpenOpenAlexFDO

Authors Luca Grassetti

Publication date 27 September 2011

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-010-0158-4

zbMATH Keywords

fixed effect modelrandom effects modeltransformed likelihood approach

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical tables (62Q05)

Recommendations

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Cites work

• Another look at the instrumental variable estimation of error-components models
• scientific article; zbMATH DE number 1497444 (Why is no real title available?)
• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• Initial conditions and moment restrictions in dynamic panel data models
• Instrumental Variables Regression with Weak Instruments
• Large Sample Properties of Generalized Method of Moments Estimators
• Likelihood methods in statistics
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Mixed-Effects Models in S and S-PLUS
• Orthogonal Parameters and Panel Data
• Semiparametric Regression
• Statistical Analysis of Financial Data in S-Plus
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• What are the advantages of MCMC based inference in latent variable models?

Cited in

(7)

• Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
• Orthogonal to backward mean transformation for dynamic panel data models
• Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both \(N\) and \(T\) are large
• Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation
• First difference transformation in panel VAR models: robustness, estimation, and inference
• First difference or forward demeaning: Implications for the method of moments estimators
• Statistical inference for panel dynamic simultaneous equations models

Describes a project that uses

Uses Software

• OxMetrics
• SemiPar
• Ox
• MEMSS
• nlme
• S-PLUS
• R
• MASS (R)

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