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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| 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 |