Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both N and T are large
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- Cheng Hsiao & Qiankun Zhou, 2017. "Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models," Departmental Working Papers 2017-11, Department of Economics, Louisiana State University.
More about this item
KeywordsDynamic panel model; Maximum likelihood estimation; Long difference;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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