A Monte Carlo Study of a Factor Analytical Method for Fixed-Effects Dynamic Panel Models
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References listed on IDEAS
- Javier Alvarez & Manuel Arellano, 2003.
"The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators,"
Econometric Society, vol. 71(4), pages 1121-1159, July.
- Alvarez, J. & Arellano, M., 1998. "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators," Papers 9808, Centro de Estudios Monetarios Y Financieros-.
- Jushan Bai, 2013. "Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method," Econometrica, Econometric Society, vol. 81(1), pages 285-314, January.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Juodis, Arturas & Sarafidis, Vasilis, 2014.
"Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors,"
57659, University Library of Munich, Germany.
- Arturas Juodis & Sarafidis, V., 2014. "Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors," UvA-Econometrics Working Papers 14-07, Universiteit van Amsterdam, Dept. of Econometrics.
- Li, Kunpeng, 2017. "Fixed-effects dynamic spatial panel data models and impulse response analysis," Journal of Econometrics, Elsevier, vol. 198(1), pages 102-121.
More about this item
KeywordsDynamic panel data models; Heteroscedasticity; Monte Carlo simulations;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-01 (All new papers)
- NEP-ECM-2014-03-01 (Econometrics)
- NEP-ORE-2014-03-01 (Operations Research)
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