Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both N and T are large

Cheng Hsiao and Qiankun Zhou

Statistical Methods & Applications, 2016, vol. 25, issue 4, No 8, 675-683

Abstract: Abstract This note shows that the asymptotic properties of the quasi-maximum likelihood estimation for dynamic panel models can be easily derived by following the approach of Grassetti (Stat Methods Appl 20:221–240, 2011) to take the long difference to remove the time-invariant individual specific effects.

Keywords: Dynamic panel model; Maximum likelihood estimation; Long difference (search for similar items in EconPapers)
JEL-codes: C01 C13 C23 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10260-016-0355-x

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