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Robust Likelihood Estimation of Dynamic Panel Data Models
Citations
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Cited by:
- Bao, Yong & Yu, Xuewen, 2023. "Indirect inference estimation of dynamic panel data models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1027-1053.
- Repullo, Rafael & Elizalde, Abel, 2004.
"Economic and Regulatory Capital: What is the Difference?,"
CEPR Discussion Papers
4770, C.E.P.R. Discussion Papers.
- Abel Elizalde & Rafael Repullo, 2004. "Economic and Regulatory Capital. What Is the Difference?," Working Papers wp2004_0422, CEMFI.
- repec:spo:wpecon:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
- Arellano, Manuel, 2016.
"Modelling optimal instrumental variables for dynamic panel data models,"
Research in Economics, Elsevier, vol. 70(2), pages 238-261.
- Manuel Arellano, 2003. "Modelling Optimal Instrumental Variables for Dynamic Panel Data Models," Working Papers wp2003_0310, CEMFI.
- repec:hal:wpspec:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
- Juan-José Ganuza & Gerard Llobet & Beatriz Domínguez, 2009.
"R& D in the Pharmaceutical Industry: A World of Small Innovations,"
Management Science, INFORMS, vol. 55(4), pages 539-551, April.
- Beatriz Domínguez & Juan José Ganuza & Gerard Llobet, 2005. "R&D in the pharmaceutical industry: A world of small innovations," Economics Working Papers 936, Department of Economics and Business, Universitat Pompeu Fabra.
- Beatriz Domínguez & Juan-José Ganuza & Gerard Llobet, 2006. "R&D in the Pharmaceutical Industry: A World of Small Innovations," Working Papers wp2006_0601, CEMFI.
- Thierry Magnac & Sébastien Roux, 2009.
"Dynamique des salaires dans une cohorte,"
Economie & Prévision, La Documentation Française, vol. 0(1), pages 1-24.
- Thierry Magnac & Sébastien Roux, 2009. "Dynamique des salaires dans une cohorte," Économie et Prévision, Programme National Persée, vol. 187(1), pages 1-24.
- Magnac, Thierry & Roux, Sébastien, 2007. "Dynamique des salaires dans une cohorte," IDEI Working Papers 436, Institut d'Économie Industrielle (IDEI), Toulouse.
- Thierry Magnac & Sébastien Roux, 2009. "Dynamique des salaires dans une cohorte," Post-Print hal-02655165, HAL.
- Sentana, Enrique, 2024.
"Finite underidentification,"
Journal of Econometrics, Elsevier, vol. 240(1).
- Enrique Sentana, 2015. "Finite Underidentification," Working Papers wp2015_1508, CEMFI.
- Geert Dhaene & Koen Jochmans, 2011.
"Profile-score Adjustements for Nonlinearfixed-effect Models,"
Working Papers
hal-01073733, HAL.
- Geert Dhaene & Koen Jochmans, 2011. "Profile-score Adjustements for Nonlinearfixed-effect Models," SciencePo Working papers Main hal-01073733, HAL.
- Dhaene, Geert & Jochmans, Koen, 2016.
"Likelihood Inference In An Autoregression With Fixed Effects,"
Econometric Theory, Cambridge University Press, vol. 32(5), pages 1178-1215, October.
- Geert Dhaene & Koen Jochmans, 2013. "Likelihood inference in an Autoregression with fixed effects," SciencePo Working papers hal-01070434, HAL.
- Geert Dhaene & Koen Jochmans, 2013. "Likelihood inference in an Autoregression with fixed effects," SciencePo Working papers Main hal-01070434, HAL.
- Geert Dhaene & Koen Jochmans, 2016. "Likelihood Inference in an Autoregression with Fixed Effects," Post-Print hal-03391995, HAL.
- Geert Dhaene & Koen Jochmans, 2013. "Likelihood inference in an Autoregression with fixed effects," Working Papers hal-01070434, HAL.
- Geert Dhaene & Koen Jochmans, 2016. "Likelihood Inference in an Autoregression with Fixed Effects," SciencePo Working papers Main hal-03391995, HAL.
- Magnac, Thierry & Roux, Sébastien, 2021.
"Heterogeneity and wage inequalities over the life cycle,"
European Economic Review, Elsevier, vol. 134(C).
- Magnac, Thierry & Roux, Sébastien, 2019. "Heterogeneity and Wage Inequalities over the Life Cycle," TSE Working Papers 19-1041, Toulouse School of Economics (TSE), revised Mar 2021.
- Thierry Magnac & Sébastien Roux, 2021. "Heterogeneity and wage inequalities over the life cycle," Post-Print hal-04532017, HAL.
- Magnac, Thierry & Roux, Sébastien, 2020. "Heterogeneity and Wage Inequalities over the Life Cycle," CEPR Discussion Papers 15083, C.E.P.R. Discussion Papers.
- José Cerón & Javier Suarez, 2006.
"Hot and Cold Housing Markets: International Evidence,"
Working Papers
wp2006_0603, CEMFI.
- Suarez, Javier & Ceron, Jose A., 2006. "Hot and Cold Housing Markets: International Evidence," CEPR Discussion Papers 5411, C.E.P.R. Discussion Papers.
- Arturas Juodis, 2013. "First Difference Transformation in Panel VAR models: Robustness, Estimation and Inference," UvA-Econometrics Working Papers 13-06, Universiteit van Amsterdam, Dept. of Econometrics.
- Geert Dhaene & Koen Jochmans, 2015.
"Split-panel Jackknife Estimation of Fixed-effect Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(3), pages 991-1030.
- Geert Dhaene & Koen Jochmans, 2010. "Split-panel jackknife estimation of fixed-effect models," Working Papers hal-03627120, HAL.
- Geert Dhaene & Koen Jochmans, 2014. "Split-Panel Jackknife Estimation of Fixed-Effect Models," SciencePo Working papers Main hal-01070553, HAL.
- Geert Dhaene & Koen Jochmans, 2014. "Split-Panel Jackknife Estimation of Fixed-Effect Models," SciencePo Working papers hal-01070553, HAL.
- Geert Dhaene & Koen Jochmans, 2014. "Split-Panel Jackknife Estimation of Fixed-Effect Models," Working Papers hal-01070553, HAL.
- Geert Dhaene & Koen Jochmans, 2015. "Split-panel jackknife estimation of fixed-effect models," Post-Print hal-03392997, HAL.
- DHAENE, Geert & JOCHMANS, Koen, 2010. "Split-panel jackknife estimation of fixed-effect models," LIDAM Discussion Papers CORE 2010003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Geert Dhaene & Koen Jochmans, 2015. "Split-panel jackknife estimation of fixed-effect models," SciencePo Working papers Main hal-03392997, HAL.
- repec:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
- Boniface Ngah Epo & Gabriel Nnana Ahanda & Esther Arrah Enow & Jean-Baptise Achille Nsoe, 2024. "Economic competitiveness and labour market regulation in developing economies," SN Business & Economics, Springer, vol. 4(11), pages 1-23, November.
- Bun, Maurice J.G. & Kleibergen, Frank, 2022.
"Identification Robust Inference For Moments-Based Analysis Of Linear Dynamic Panel Data Models,"
Econometric Theory, Cambridge University Press, vol. 38(4), pages 689-751, August.
- Maurice J. G. Bun & Frank Kleibergen, 2021. "Identification robust inference for moments based analysis of linear dynamic panel data models," Papers 2105.08346, arXiv.org.
- Kruiniger, Hugo, 2018.
"A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions,"
MPRA Paper
88623, University Library of Munich, Germany.
- Kruiniger, Hugo, 2018. "A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions," MPRA Paper 110375, University Library of Munich, Germany, revised 15 Aug 2021.
- Bai, Jushan, 2024.
"Likelihood approach to dynamic panel models with interactive effects,"
Journal of Econometrics, Elsevier, vol. 240(1).
- Bai, Jushan, 2013. "Likelihood approach to dynamic panel models with interactive effects," MPRA Paper 50267, University Library of Munich, Germany.
- repec:hal:wpspec:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
- repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
- repec:hal:wpspec:info:hdl:2441/eu4vqp9ompqllr09ij4oge90i is not listed on IDEAS
- Manuel Arellano & Stéphane Bonhomme, 2009.
"Robust Priors in Nonlinear Panel Data Models,"
Econometrica, Econometric Society, vol. 77(2), pages 489-536, March.
- Manuel Arellano & Stéphane Bonhomme, 2006. "Robust Priors in Nonlinear Panel Data Models," Working Papers wp2006_0614, CEMFI.
- Manuel Arellano & Stéphane Bonhomme, 2007. "Robust priors in nonlinear panel data models," CeMMAP working papers CWP07/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Magnac, Thierry & Pistolesi, Nicolas & Roux, Sébastien, 2013.
"Post Schooling Human Capital Investments and the Life Cycle Variance of Earnings,"
IZA Discussion Papers
7407, Institute of Labor Economics (IZA).
- Magnac, Thierry & Pistolesi, Nicolas & Roux, Sébastien, 2013. "Post schooling human capital investments and the life cycle variance of earnings," TSE Working Papers 13-380, Toulouse School of Economics (TSE).
- Magnac, Thierry & Pistolesi, Nicolas & Roux, Sébastien, 2013. "Post schooling human capital investments and the life cycle variance of earnings," IDEI Working Papers 765, Institut d'Économie Industrielle (IDEI), Toulouse.
- Thierry Magnac & Sebastien Roux & Nicolas Pistolesi, 2013. "Post schooling human capital investments and the life cycle variance of earnings," 2013 Meeting Papers 426, Society for Economic Dynamics.
- Enrique Moral-Benito, 2013. "Likelihood-Based Estimation of Dynamic Panels With Predetermined Regressors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 451-472, October.
- repec:hal:spmain:info:hdl:2441/1mc4dip81d9t8r0t57fe1h8lap is not listed on IDEAS
- Kruiniger, Hugo, 2013.
"Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions,"
Journal of Econometrics, Elsevier, vol. 173(2), pages 175-188.
- Hugo Kruiniger, 2006. "Quasi ML Estimation of the Panel AR(1) Model with Arbitrary Initial Conditions," Working Papers 582, Queen Mary University of London, School of Economics and Finance.
- Gørgens, Tue & Han, Chirok & Xue, Sen, 2020. "On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root," Economics Letters, Elsevier, vol. 197(C).
- L. Hospido, 2012.
"Modelling heterogeneity and dynamics in the volatility of individual wages,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(3), pages 386-414, April.
- Laura Hospido, 2007. "Modelling heterogeneity and dynamics in the volatility of individual wages," Working Papers 0738, Banco de España.
- Hospido, Laura, 2010. "Modelling Heterogeneity and Dynamics in the Volatility of Individual Wages," IZA Discussion Papers 4712, Institute of Labor Economics (IZA).
- Laura Hospido, 2007. "Modelling Heterogeneity and Dynamics in the Volatility of Individual Wages," Working Papers wp2007_0717, CEMFI.
- 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.
- Maurice J.G. Bun & Martin A. Carree & Arturas Juodis, 2014. "On Maximum Likelihood estimation of dynamic panel data models," UvA-Econometrics Working Papers 14-04, Universiteit van Amsterdam, Dept. of Econometrics.
- Kazuhiko Hayakawa & M. Hashem Pesaran, 2012.
"Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models,"
Working Paper series
38_12, Rimini Centre for Economic Analysis.
- Kazuhiko Hayakawa & M. Hashem Pesaran, 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models," CESifo Working Paper Series 3850, CESifo.
- Hayakawa, Kazuhiko & Pesaran, M. Hashem, 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models," IZA Discussion Papers 6583, Institute of Labor Economics (IZA).
- Stauskas, Ovidijus, 2019. "On the Limit Theory of Mixed to Unity VARs: Panel Setting With Weakly Dependent Errors," Working Papers 2019:2, Lund University, Department of Economics.
- repec:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09ij4oge90i is not listed on IDEAS
- In Choi & Sanghyun Jung, 2021.
"Cross-sectional quasi-maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels,"
Empirical Economics, Springer, vol. 60(1), pages 177-203, January.
- In Choi & Sanghyun Jung, 2020. "Cross-sectional quasi maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels," Working Papers 2007, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Carneiro, Anabela & Portugal, Pedro & Raposo, Pedro & Rodrigues, Paulo M.M., 2023.
"The persistence of wages,"
Journal of Econometrics, Elsevier, vol. 233(2), pages 596-611.
- Carneiro, Anabela & Portugal, Pedro & Raposo, Pedro & Rodrigues, Paulo M. M., 2021. "The Persistence of Wages," IZA Discussion Papers 14798, Institute of Labor Economics (IZA).
- Paulo M.M. Rodrigues & Pedro Portugal & Anabela Carneiro, 2021. "The persistence of wages," Working Papers w202112, Banco de Portugal, Economics and Research Department.
- Aleix Calveras & Juan-José Ganuza & Gerard Llobet, 2005.
"Regulation and Opportunism: How Much Activism Do We Need?,"
Working Papers
wp2005_0508, CEMFI.
- Aleix Calveras & Juan José Ganuza & Gerard Llobet, 2005. "Regulation and opportunism: How much activism do we need?," Economics Working Papers 935, Department of Economics and Business, Universitat Pompeu Fabra.
- repec:spo:wpmain:info:hdl:2441/1mc4dip81d9t8r0t57fe1h8lap is not listed on IDEAS
- Hospido, Laura, 2015. "Wage dynamics in the presence of unobserved individual and job heterogeneity," Labour Economics, Elsevier, vol. 33(C), pages 81-93.
- Geert Dhaene & Koen Jochmans, 2011.
"Profile-score Adjustements for Nonlinearfixed-effect Models,"
Working Papers
hal-01073733, HAL.
- Geert Dhaene & Koen Jochmans, 2011. "Profile-score Adjustements for Nonlinearfixed-effect Models," SciencePo Working papers hal-01073733, HAL.
- Geert Dhaene & Koen Jochmans, 2011. "Profile-score Adjustements for Nonlinearfixed-effect Models," Sciences Po publications info:hdl:2441/eu4vqp9ompq, Sciences Po.
- Geert Dhaene & Koen Jochmans, 2011.
"An Adjusted profile likelihood for non-stationary panel data models with fixed effects,"
Working Papers
hal-01073732, HAL.
- Geert Dhaene & Koen Jochmans, 2011. "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," SciencePo Working papers hal-01073732, HAL.
- Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 151(1), pages 1-16, July.
- Angelica Gonzalez, 2007. "Angelica Gonzalez," Edinburgh School of Economics Discussion Paper Series 168, Edinburgh School of Economics, University of Edinburgh.
- Geert Dhaene & Koen Jochmans, 2011.
"An Adjusted profile likelihood for non-stationary panel data models with fixed effects,"
Working Papers
hal-01073732, HAL.
- Geert Dhaene & Koen Jochmans, 2011. "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," SciencePo Working papers Main hal-01073732, HAL.
- 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.
- Laura Hospido, 2009.
"Job changes and individual-job specific wage dynamics,"
Working Papers
0907, Banco de España.
- Hospido, Laura, 2010. "Job Changes and Individual-Job Specific Wage Dynamics," IZA Discussion Papers 5088, Institute of Labor Economics (IZA).
- Maurice J.G. Bun & Frank Kleibergen, 2013. "Identification and inference in moments based analysis of linear dynamic panel data models," UvA-Econometrics Working Papers 13-07, Universiteit van Amsterdam, Dept. of Econometrics.
- Hayakawa, K. & Pesaran, M.H., 2012. "Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models," Cambridge Working Papers in Economics 1224, Faculty of Economics, University of Cambridge.
- Suhal Kusairi & Suriyani Muhamad & M Musdholifah & Shu-Chen Chang, 2019. "Labor Market and Household Debt in Asia Pacific Countries: Dynamic Heterogeneous Panel Data Analysis," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-15, June.
- Hayakawa, Kazuhiko & Pesaran, M. Hashem, 2015. "Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 188(1), pages 111-134.
- repec:hal:spmain:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
- Seung C. Ahn & Gareth M. Thomas, 2023. "Likelihood-based inference for dynamic panel data models," Empirical Economics, Springer, vol. 64(6), pages 2859-2909, June.
- Jushan Bai, 2023. "Efficiency of QMLE for dynamic panel data models with interactive effects," Papers 2312.07881, arXiv.org, revised Apr 2024.
- Robert F. Phillips, 2022. "Forward Orthogonal Deviations GMM and the Absence of Large Sample Bias," Papers 2212.14075, arXiv.org, revised Jul 2024.
- Luca Grassetti, 2011. "A note on transformed likelihood approach in linear dynamic panel models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(2), pages 221-240, June.
- repec:spo:wpecon:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
- repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
- Dhaene, Geert & Jochmans, Koen, 2016.
"Likelihood Inference In An Autoregression With Fixed Effects,"
Econometric Theory, Cambridge University Press, vol. 32(5), pages 1178-1215, October.
- Geert Dhaene & Koen Jochmans, 2013. "Likelihood inference in an Autoregression with fixed effects," SciencePo Working papers hal-01070434, HAL.
- Geert Dhaene & Koen Jochmans, 2016. "Likelihood Inference in an Autoregression with Fixed Effects," SciencePo Working papers hal-03391995, HAL.
- Geert Dhaene & Koen Jochmans, 2016. "Likelihood Inference in an Autoregression with Fixed Effects," Post-Print hal-03391995, HAL.
- Geert Dhaene & Koen Jochmans, 2013. "Likelihood inference in an Autoregression with fixed effects," Working Papers hal-01070434, HAL.
- Geert Dhaene & Koen Jochmans, 2016. "Likelihood Inference in an Autoregression with Fixed Effects," Sciences Po publications info:hdl:2441/1mc4dip81d9, Sciences Po.
- Geert Dhaene & Koen Jochmans, 2013. "Likelihood inference in an Autoregression with fixed effects," Sciences Po Economics Discussion Papers 2013-07, Sciences Po Departement of Economics.
- Geert Dhaene & Koen Jochmans, 2013. "Likelihood inference in an Autoregression with fixed effects," Sciences Po publications 2013-07, Sciences Po.
- Khalaf, Lynda & Saunders, Charles J., 2020. "Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels," Journal of Econometrics, Elsevier, vol. 218(2), pages 419-434.
- repec:hal:spmain:info:hdl:2441/eu4vqp9ompqllr09ij4oge90i is not listed on IDEAS
- Shobande, Olatunji A. & Ogbeifun, Lawrence, 2023. "Pooling cross-sectional and time series data for estimating causality between technological innovation, affluence and carbon dynamics: A comparative evidence from developed and developing countries," Technological Forecasting and Social Change, Elsevier, vol. 187(C).
- repec:spo:wpecon:info:hdl:2441/eu4vqp9ompqllr09ij4oge90i is not listed on IDEAS
- Angelica Gonzalez, 2007. "Empirical Likelihood: Improved Inference within Dynamic Panel Data Models," Edinburgh School of Economics Discussion Paper Series 154, Edinburgh School of Economics, University of Edinburgh.
- Ovidijus Stauskas, 2020. "On the limit theory of mixed to unity VARs: Panel setting with weakly dependent errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 892-898, November.