Quasi–maximum Likelihood Estimation of Linear Dynamic Short-T panel-data Models

Autor:	Sebastian Kripfganz
Rok vydání:	2016
Předmět:	Estimation Quasi-maximum likelihood Mathematics (miscellaneous) 0502 economics and business 05 social sciences Statistics Econometrics Time horizon 050207 economics Random effects model 050205 econometrics Panel data Mathematics
Zdroj:	The Stata Journal: Promoting communications on statistics and Stata. 16:1013-1038
ISSN:	1536-8734 1536-867X
DOI:	10.1177/1536867x1601600411
Popis:	In this article, I describe the xtdpdqml command for the quasi–maximum likelihood estimation of linear dynamic panel-data models when the time horizon is short and the number of cross-sectional units is large. Based on the theoretical groundwork by Bhargava and Sargan (1983, Econometrica 51: 1635–1659) and Hsiao, Pesaran, and Tahmiscioglu (2002, Journal of Econometrics 109: 107–150), the marginal distribution of the initial observations is modeled as a function of the observed variables to circumvent a short- T dynamic panel-data bias. Both random-effects and fixed-effects versions are available.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::fdb7409d84b8d7236f98814965e62692 https://doi.org/10.1177/1536867x1601600411 Zobrazit plný text záznamu Plný text ve formátu PDF