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Asymptotic distribution of misspecified random effects estimator for a dynamic panel model with fixed effects when both n and T are large

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  • Hahn, Jinyong
  • Kuersteiner, Guido
  • Cho, Myeong Hyeon

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  • Hahn, Jinyong & Kuersteiner, Guido & Cho, Myeong Hyeon, 2004. "Asymptotic distribution of misspecified random effects estimator for a dynamic panel model with fixed effects when both n and T are large," Economics Letters, Elsevier, vol. 84(1), pages 117-125, July.
    • Handle: RePEc:eee:ecolet:v:84:y:2004:i:1:p:117-125
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    References listed on IDEAS

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    1. Newey, Whitney K, 1991. "Uniform Convergence in Probability and Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 59(4), pages 1161-1167, July.
    2. Javier Alvarez & Manuel Arellano, 2003. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Econometrica, Econometric Society, vol. 71(4), pages 1121-1159, July.
    3. Jinyong Hahn & Whitney Newey, 2004. "Jackknife and Analytical Bias Reduction for Nonlinear Panel Models," Econometrica, Econometric Society, vol. 72(4), pages 1295-1319, July.
    4. Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July.
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    Cited by:

    1. Manuel Arellano & Stéphane Bonhomme, 2009. "Robust Priors in Nonlinear Panel Data Models," Econometrica, Econometric Society, vol. 77(2), pages 489-536, March.
    2. Maurice J.G. Bun & Martin A. Carree & Artūras Juodis, 2017. "On Maximum Likelihood Estimation of Dynamic Panel Data Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(4), pages 463-494, August.
    3. Artūras Juodis & Vasilis Sarafidis, 2023. "New results on asymptotic properties of likelihood estimators with persistent data for small and large T," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 14(3), pages 435-461, December.
    4. Rodrigo Alfaro, 2008. "Estimation of a Dynamic Panel Data: The Case Of Corporate Investment in Chile," Working Papers Central Bank of Chile 467, Central Bank of Chile.

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