A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions
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More about this item
Keywordsdynamic panel data; expected Hessian; fixed effects; Generalized Method of Moments (GMM); inflection point; Modified Maximum Likelihood; Quasi LM test; second-order identification; singular information matrix; weak moment conditions.;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2018-09-17 (All new papers)
- NEP-ECM-2018-09-17 (Econometrics)
- NEP-ETS-2018-09-17 (Econometric Time Series)
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