Likelihood approach to dynamic panel models with interactive effects
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- Bai, Jushan, 2024. "Likelihood approach to dynamic panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 240(1).
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Citations
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- Juodis, Arturas & Sarafidis, Vasilis, 2014. "Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors," MPRA Paper 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.
- Juodis, Artūras & Sarafidis, Vasilis, 2022.
"An incidental parameters free inference approach for panels with common shocks,"
Journal of Econometrics, Elsevier, vol. 229(1), pages 19-54.
- Juodis, Arturas & Sarafidis, Vasilis, 2020. "An Incidental Parameters Free Inference Approach for Panels with Common Shocks," MPRA Paper 104906, University Library of Munich, Germany.
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- Hyungsik Roger Moon & Martin Weidner, 2015.
"Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects,"
Econometrica, Econometric Society, vol. 83(4), pages 1543-1579, July.
- Hyungsik Roger Moon & Martin Weidner, 2013. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers CWP49/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hyungsik Roger Moon & Martin Weidner, 2014. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers CWP35/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jushan Bai, 2023. "Efficiency of QMLE for dynamic panel data models with interactive effects," Papers 2312.07881, arXiv.org, revised Apr 2024.
- Kazuhiko Hayakawa & M. Hashem Pesaran & L. Vanessa Smith, 2014.
"Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects,"
CESifo Working Paper Series
4822, CESifo.
- Kazuhiko Hayakawa & Vanessa Smith & M. Hashem Pesaran, 2014. "Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects," Cambridge Working Papers in Economics 1412, Faculty of Economics, University of Cambridge.
- Kazuhiko Hayakawa & M. Hashem Pesaran & L. Vanessa Smith, 2023. "Short T dynamic panel data models with individual, time and interactive effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 940-967, September.
- Ignace De Vos & Gerdie Everaert, 2016. "Bias-Corrected Common Correlated Effects Pooled Estimation In Homogeneous Dynamic Panels," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/920, Ghent University, Faculty of Economics and Business Administration.
- Juodis, Arturas & Sarafidis, Vasilis, 2015.
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68164, University Library of Munich, Germany.
- Arturas Juodis & Sarafidis, V., 2015. "A Simple Estimator for Short Panels with Common Factors," UvA-Econometrics Working Papers 15-03, Universiteit van Amsterdam, Dept. of Econometrics.
- Robertson, Donald & Sarafidis, Vasilis, 2015.
"IV estimation of panels with factor residuals,"
Journal of Econometrics, Elsevier, vol. 185(2), pages 526-541.
- Robertson, Donald & Sarafidis, Vasilis & Symons, James, 2010. "IV Estimation of Panels with Factor Residuals," MPRA Paper 26166, University Library of Munich, Germany.
- Donald Robertson & Vasilis Sarafidis, 2013. "IV Estimation of Panels with Factor Residuals," Cambridge Working Papers in Economics 1321, Faculty of Economics, University of Cambridge.
- Yan Sun & Wei Huang, 2022. "Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(1), pages 93-114, January.
- Westerlund, Joakim & Norkute, Milda, 2014. "A Factor Analytical Method to Interactive Effects Dynamic Panel Models with or without Unit Root," Working Papers 2014:12, Lund University, Department of Economics.
- Maria Elena Bontempi & Jan Ditzen, 2023. "GMM-lev estimation and individual heterogeneity: Monte Carlo evidence and empirical applications," Papers 2312.00399, arXiv.org, revised Dec 2023.
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More about this item
Keywords
factor structure; interactive effects; incidental parameters; predetermined regressors; heterogeneity and endogeneity; quasi-FIML; efficiency;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-10-02 (Econometrics)
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