First difference maximum likelihood and dynamic panel estimation

• Main Authors: HAN, Chirok, PHILLIPS, Peter C. B.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2013
• 主題: Asymptote; Bounded support; Dynamic panel; Efficiency; First difference MLE; Likelihood; Quartic equation; Restricted extremum estimator; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/2173

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...