On quasi maximum-likelihood estimation of dynamic panel data models

Robert Phillips

Economics Letters, 2015, vol. 137, issue C, 91-94

Abstract: This note gives a simplification of the parameter identification condition provided in Phillips (2010) for quasi maximum-likelihood estimation of dynamic panel data models. Using this simplification, the note shows that for the first-order autoregressive panel data model the parameters are guaranteed to be identified if the number of observations per cross-sectional unit is large enough. The simplification is also used to provide numerical evidence that “large enough” is small.

Keywords: Fixed effects; QML estimation; Augmented dynamic panel data model (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:137:y:2015:i:c:p:91-94

DOI: 10.1016/j.econlet.2015.10.024

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