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Maximum Likelihood Estimation and Inference for High Dimensional Nonlinear Factor Models with Application to Factor-Augmented Regressions

Wang, Fa - 2020

This paper reestablishes the main results in Bai (2003) and Bai and Ng (2006) for high dimensional nonlinear factor models, with slightly stronger conditions on the relative magnitude of N(number of subjects) and T(number of time periods). Factors and loadings are estimated by maximum...

Persistent link: https://www.econbiz.de/10012849457

Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects

Tuzcuoglu, Kerem - 2019

Modeling and estimating autocorrelated discrete data can be challenging. In this paper, we use an autoregressive panel …

Persistent link: https://www.econbiz.de/10012871277

Pseudo Conditional Maximum Likelihood Estimation of the Dynamic Logit Model for Binary Panel Data

Bartolucci, Francesco - 2010

We show how the dynamic logit model for binary panel data may be approximated by a quadratic exponential model. Under …

Persistent link: https://www.econbiz.de/10012717102

Likelihood corrections for two-way models

Jochmans, Koen; Otsu, Taisuke - 2018

Persistent link: https://www.econbiz.de/10012671073

Robust dynamic panel data models using ε-contamination

Baltagi, Badi H.; Bresson, Georges; Chaturvedi, Anoop; … - 2020

This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the … robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian … specifications which includes the dynamic panel model with random effects, with cross-correlated effects à la Chamberlain, for the …

Persistent link: https://www.econbiz.de/10012210757