ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS. (April 2020)

• Record Type: Journal Article
• Authors: Robinson, Peter M.; Velasco, Carlos
• Is Part Of: Econometric theory. Volume 36:Number 2(2020)
• Page Start: 185
• Page End: 222
• Publication Date: 2020-04
• Subjects: Econometrics -- Periodicals; 330.01519505
• DOI: 10.1017/S0266466619000069
• Languages: English
• ISSNs: 0266-4666

Abstract

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.