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First difference maximum likelihood and dynamic panel estimation

Han, Chirok; Phillips, Peter C.B. - In: Journal of Econometrics 175 (2013) 1, pp. 35-45

First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling … finite sample performance and asymptotics. FDML uses the Gaussian likelihood function for first differenced data and … parameter estimation is based on the whole domain over which the log-likelihood is defined. However, extending the domain of the …

Persistent link: https://www.econbiz.de/10011052217

Maximum likelihood estimation and uniform inference with sporadic identification failure

Andrews, Donald W.K.; Cheng, Xu - In: Journal of Econometrics 173 (2013) 1, pp. 36-56

averages and are smooth functions of a parameter θ. This includes log likelihood, quasi-log likelihood, and least squares …

Persistent link: https://www.econbiz.de/10011052306

QML estimation of dynamic panel data models with spatial errors

Su, Liangjun; Yang, Zhenlin - In: Journal of Econometrics 185 (2015) 1, pp. 230-258

We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross …

Persistent link: https://www.econbiz.de/10011190720

Generalized dynamic panel data models with random effects for cross-section and time

Mesters, G.; Koopman, S.J. - In: Journal of Econometrics 180 (2014) 2, pp. 127-140

An exact maximum likelihood method is developed for the estimation of parameters in a nonlinear non-Gaussian dynamic …

Persistent link: https://www.econbiz.de/10010776911

Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels

Bennala, Nezar; Hallin, Marc; Paindaveine, Davy - In: Journal of Econometrics 170 (2012) 1, pp. 50-67

We consider the problem of detecting unobserved heterogeneity, that is, the problem of testing the absence of random individual effects in an n×T panel. We establish a local asymptotic normality property–with respect to intercept, regression coefficient, the scale parameter σ of the error,...

Persistent link: https://www.econbiz.de/10011052340

Lock-in and unobserved preferences in server operating systems: A case of Linux vs. Windows

Hong, Seung-Hyun; Rezende, Leonardo - In: Journal of Econometrics 167 (2012) 2, pp. 494-503

This paper investigates to what extent the persistence of Microsoft Windows in the market for server operating systems is due to lock-in or unobserved preferences. While the hypothesis of lock-in plays an important role in the antitrust policy debate for the operating systems market, it has not...

Persistent link: https://www.econbiz.de/10010574089