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ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS

Published online by Cambridge University Press:  20 March 2019

Peter M. Robinson  and
Carlos Velasco
Peter M. Robinson*
Affiliation:
London School of Economics
Carlos Velasco
Affiliation:
Universidad Carlos III de Madrid
*
*Address correspondence to Peter M. Robinson, London School of Economics, London, UK; e-mail: [email protected].
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Abstract

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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.

Type
ARTICLES
Information
Econometric Theory , Volume 36 , Issue 2 , April 2020 , pp. 185 - 222
Copyright
Copyright © Cambridge University Press 2019 

Footnotes

We are grateful to Peter Phillips and three referees for constructive comments that have improved the article.

References

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