Indirect inference for dynamic panel models

Indirect inference for dynamic panel models

It is well-known that maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size (T) and large cross section sample size (N) asymptotics. The estimation bias is particularly relevant in pract...

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Bibliographic Details
Main Authors: GOURIEROUX, Christian, PHILLIPS, Peter C. B., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2006
Subjects:
Autoregression
Bias reduction
Dynamic panel
Fixed effects
Indirect inference
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5216
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6215/viewcontent/SSRN_id875372.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/5216
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6215/viewcontent/SSRN_id875372.pdf

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