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Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects

Hayakawa, Kazuhiko; Pesaran, M. Hashem; Smith, L. Vanessa - 2014

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive …

Persistent link: https://www.econbiz.de/10010358963

Dynamic panel data modelling using maximum likelihood : an alternative to Arellano-Bond

Moral-Benito, Enrique; Allison, Paul D.; Williams, Richard - 2017

Persistent link: https://www.econbiz.de/10011784141

Dynamic panel data modelling using maximum likelihood : an alternative to Arellano-Bond

Moral-Benito, Enrique; Allison, Paul D.; Williams, Richard - In: Applied economics 51 (2019) 20, pp. 2221-2232

Persistent link: https://www.econbiz.de/10012196670

Maximum Likelihood and GMM Estimation of Dynamic Panel Data Models with Fixed Effects

Kruiniger, Hugo - 2002

This paper considers inference procedures for two types of dynamic linear panel data models with fixed effects (FE … presents likelihood based unit root tests. Finally, the properties of CML, GMM, and Modified ML estimators for dynamic panel …

Persistent link: https://www.econbiz.de/10014139743

Dynamic Panel Data Modelling Using Maximum Likelihood : An Alternative to Arellano-Bond

Moral-Benito, Enrique - 2017

The Arellano and Bond (1991) estimator is widely-used among applied researchers when estimating dynamic panels with fixed effects and predetermined regressors. This estimator might behave poorly in finite samples when the cross-section dimension of the data is small (i.e. small N), especially if...

Persistent link: https://www.econbiz.de/10012964701

Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models

Hayakawa, Kazuhiko - 2012

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

Persistent link: https://www.econbiz.de/10013105008

Estimation of linear dynamic panel data models with time-invariant regressors

Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This Version: May 6, 2013

This paper considers estimation methods and inference for linear dynamic panel data models with unit … depth does not. Finally, we estimate a dynamic Mincer equation with data from the Panel Study of Income Dynamics to …

Persistent link: https://www.econbiz.de/10009775613

Estimation of linear dynamic panel data models with time-invariant regressors : conference paper

Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This version: May 6, 2013

This paper considers estimation methods and inference for linear dynamic panel data models with unit …

Persistent link: https://www.econbiz.de/10010342822

QML estimation of spatial dynamic panel data models with time varying spatial weights matrices

Lee, Lung-fei; Yu, Jihai - In: Spatial economic analysis : the journal of the Regional … 7 (2012) 1, pp. 31-74

Persistent link: https://www.econbiz.de/10009564237

Robust standard errors in transformed likelihood estimation of dynamic panel data models

Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012

Persistent link: https://www.econbiz.de/10009580056