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Estimation for dynamic panel data with individual effects

Robinson, Peter M. and Velasco, Carlos (2019) Estimation for dynamic panel data with individual effects. Econometric Theory, 36 (2). pp. 185-222. ISSN 0266-4666

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Identification Number: 10.1017/S0266466619000069

Abstract

The article discusses statistical inference in parametric models for panel data. The models feature dynamics of a general nature, individual effects, and possible explanatory variables. The focus is on large-cross-section inference on Gaussian pseudo maximum likelihood estimates with temporal dimension kept fixed, partially complementing and extending recent work of the authors. We focus on a particular kind of initial condition but go on to discuss implications of alternative initial conditions. Some possible further developments are briefly reviewed.

Item Type: Article
Official URL: https://www.cambridge.org/core/journals/econometri...
Additional Information: © 2019 Cambridge University Press
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 05 Apr 2019 23:12
Last Modified: 28 May 2020 23:08
URI: http://eprints.lse.ac.uk/id/eprint/100417

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