Efficiency of QMLE for dynamic panel data models with interactive effects

Jushan Bai

Papers from arXiv.org

Abstract: This paper derives the efficiency bound for estimating the parameters of dynamic panel data models in the presence of an increasing number of incidental parameters. We study the efficiency problem by formulating the dynamic panel as a simultaneous equations system, and show that the quasi-maximum likelihood estimator (QMLE) applied to the system achieves the efficiency bound. Comparison of QMLE with fixed effects estimators is made.

Date: 2023-12, Revised 2024-04
New Economics Papers: this item is included in nep-ecm
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