Publication:
Estimation for Dynamic Panel Data with Individual Effects

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2020-03-01
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Cambridge University Press
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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.
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Parametric models, Panel data models, Asymptotic statistical properties, Dynamic panel data
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Robinson, P. M., & Velasco, C. (2019). Estimation for dynamic panel data with individual effects. Econometric Theory, 36 (2), pp. 185-222.