First difference maximum likelihood and dynamic panel estimation

• Main Authors: HAN, Chirok, PHILLIPS, Peter C. B.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Asymptote; Bounded support; Dynamic panel; Efficiency; First difference MLE; Likelihood; Quartic equation; Restricted extremum estimator; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2173
• Institution: Singapore Management University

First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling because differencing eliminates fixed effects and, in the case of a unit root, differencing transforms the data to stationarity, thereby addressing both incidental parameter problems...