Indirect Inference for Dynamic Panel Models

Indirect Inference for Dynamic Panel Models

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 and large cross section sample size asymptotics. This paper proposes a general, computationally inexpensive method of bias reduction...

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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 2007
Subjects:
Autoregression
Bias reduction
Dynamic panel
Fixed effects
Indirect inference
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/279
https://ink.library.smu.edu.sg/context/soe_research/article/1278/viewcontent/dynamicpanel_iiE.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/279
https://ink.library.smu.edu.sg/context/soe_research/article/1278/viewcontent/dynamicpanel_iiE.pdf

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