Initial-condition free estimation of fixed effects dynamic panel data models

• Main Author: YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Bias reduction; Consistency; Asymptotic normality; Dynamic panel; Fixed effects; Modified quasi-score; Robust standard error; Short panel; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1600; https://ink.library.smu.edu.sg/context/soe_research/article/2599/viewcontent/16_2014.pdf
• Institution: Singapore Management University

It is well known that (quasi) MLE of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values; ignoring them or a wrong treatment of them will result in inconsistency or serious bias. This paper introduces a initial-condition free method for estimating the f...