Indirect inference for dynamic panel models

• 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
• Institution: Singapore Management University

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...