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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書目詳細資料
Main Authors:	GOURIEROUX, Christian, PHILLIPS, Peter C. B., YU, Jun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2006
主題:	Autoregression Bias reduction Dynamic panel Fixed effects Indirect inference Finance and Financial Management
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/5216 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6215/viewcontent/SSRN_id875372.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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