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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2007
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/965 https://ink.library.smu.edu.sg/context/soe_research/article/1964/viewcontent/JunYu0707.pdf |
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| Institution: | Singapore Management University |
| Language: | English |