Arbeitspapier
Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects
This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of the transformed likelihood approach, whilst at the same time allows for observed factors (fixed or random). Small sample results obtained from Monte Carlo simulations show that the transformed ML estimator performs well in finite samples and outperforms the GMM estimators proposed in the literature in almost all cases considered.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 4822
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Thema
-
short T dynamic panels
transformed maximum likelihood
multi-factor error structure
interactive fixed effects
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hayakawa, Kazuhiko
Pesaran, M. Hashem
Smith, L. Vanessa
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hayakawa, Kazuhiko
- Pesaran, M. Hashem
- Smith, L. Vanessa
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2014
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