In this paper we show that the Quasi ML estimation method yields consistent Random and Fixed Effects estimators for the autoregression parameter ρ in the panel AR(1) model with arbitrary initial conditions and possibly time-series heteroskedasticity even when the error components are drawn from...

This paper considers Maximum Likelihood (ML) based estimation and inference procedures for linear dynamic panel data models with fixed effects. The paper first studies the asymptotic properties of MaCurdy's [MaCurdy, T., 1982. The use of time series processes to model the time structure of...