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Robust Likelihood Estimation of Dynamic Panel Data Models

Citations

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Cited by:

  1. Bao, Yong & Yu, Xuewen, 2023. "Indirect inference estimation of dynamic panel data models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1027-1053.
  2. Repullo, Rafael & Elizalde, Abel, 2004. "Economic and Regulatory Capital: What is the Difference?," CEPR Discussion Papers 4770, C.E.P.R. Discussion Papers.
  3. repec:spo:wpecon:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
  4. Arellano, Manuel, 2016. "Modelling optimal instrumental variables for dynamic panel data models," Research in Economics, Elsevier, vol. 70(2), pages 238-261.
  5. repec:hal:wpspec:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
  6. 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.
  7. Thierry Magnac & Sébastien Roux, 2009. "Dynamique des salaires dans une cohorte," Economie & Prévision, La Documentation Française, vol. 0(1), pages 1-24.
  8. Sentana, Enrique, 2024. "Finite underidentification," Journal of Econometrics, Elsevier, vol. 240(1).
  9. Geert Dhaene & Koen Jochmans, 2011. "Profile-score Adjustements for Nonlinearfixed-effect Models," Working Papers hal-01073733, HAL.
  10. 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.
  11. Magnac, Thierry & Roux, Sébastien, 2021. "Heterogeneity and wage inequalities over the life cycle," European Economic Review, Elsevier, vol. 134(C).
  12. José Cerón & Javier Suarez, 2006. "Hot and Cold Housing Markets: International Evidence," Working Papers wp2006_0603, CEMFI.
  13. 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.
  14. 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.
  15. repec:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
  16. 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.
  17. 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.
  18. 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.
  19. Bai, Jushan, 2024. "Likelihood approach to dynamic panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 240(1).
  20. repec:hal:wpspec:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
  21. repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
  22. repec:hal:wpspec:info:hdl:2441/eu4vqp9ompqllr09ij4oge90i is not listed on IDEAS
  23. Manuel Arellano & Stéphane Bonhomme, 2009. "Robust Priors in Nonlinear Panel Data Models," Econometrica, Econometric Society, vol. 77(2), pages 489-536, March.
  24. 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).
  25. 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.
  26. repec:hal:spmain:info:hdl:2441/1mc4dip81d9t8r0t57fe1h8lap is not listed on IDEAS
  27. 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.
  28. 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).
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. repec:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09ij4oge90i is not listed on IDEAS
  34. 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.
  35. 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.
  36. Aleix Calveras & Juan-José Ganuza & Gerard Llobet, 2005. "Regulation and Opportunism: How Much Activism Do We Need?," Working Papers wp2005_0508, CEMFI.
  37. repec:spo:wpmain:info:hdl:2441/1mc4dip81d9t8r0t57fe1h8lap is not listed on IDEAS
  38. Hospido, Laura, 2015. "Wage dynamics in the presence of unobserved individual and job heterogeneity," Labour Economics, Elsevier, vol. 33(C), pages 81-93.
  39. Geert Dhaene & Koen Jochmans, 2011. "Profile-score Adjustements for Nonlinearfixed-effect Models," Working Papers hal-01073733, HAL.
  40. Geert Dhaene & Koen Jochmans, 2011. "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," Working Papers hal-01073732, HAL.
  41. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 151(1), pages 1-16, July.
  42. Angelica Gonzalez, 2007. "Angelica Gonzalez," Edinburgh School of Economics Discussion Paper Series 168, Edinburgh School of Economics, University of Edinburgh.
  43. Geert Dhaene & Koen Jochmans, 2011. "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," Working Papers hal-01073732, HAL.
  44. 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.
  45. Laura Hospido, 2009. "Job changes and individual-job specific wage dynamics," Working Papers 0907, Banco de España.
  46. 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.
  47. 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.
  48. 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.
  49. 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.
  50. repec:hal:spmain:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
  51. 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.
  52. Jushan Bai, 2023. "Efficiency of QMLE for dynamic panel data models with interactive effects," Papers 2312.07881, arXiv.org, revised Apr 2024.
  53. Robert F. Phillips, 2022. "Forward Orthogonal Deviations GMM and the Absence of Large Sample Bias," Papers 2212.14075, arXiv.org, revised Jul 2024.
  54. 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.
  55. repec:spo:wpecon:info:hdl:2441/eu4vqp9ompqllr09j0031f620 is not listed on IDEAS
  56. repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p2m9mgp8l is not listed on IDEAS
  57. 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.
  58. 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.
  59. repec:hal:spmain:info:hdl:2441/eu4vqp9ompqllr09ij4oge90i is not listed on IDEAS
  60. 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).
  61. repec:spo:wpecon:info:hdl:2441/eu4vqp9ompqllr09ij4oge90i is not listed on IDEAS
  62. 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.
  63. 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.
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