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Peter M. Robinson and Carlos Velasco ()

Econometric Theory, 2020, vol. 36, issue 2, 185-222

Abstract: The article discusses statistical inference in parametric models for panel data. The models feature dynamics of a general nature, individual effects, and possible explanatory variables. The focus is on large-cross-section inference on Gaussian pseudo maximum likelihood estimates with temporal dimension kept fixed, partially complementing and extending recent work of the authors. We focus on a particular kind of initial condition but go on to discuss implications of alternative initial conditions. Some possible further developments are briefly reviewed.

Date: 2020
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Handle: RePEc:cup:etheor:v:36:y:2020:i:2:p:185-222_1