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ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS

  • Peter M. Robinson (a1) and Carlos Velasco (a2)
Abstract

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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Corresponding author
*Address correspondence to Peter M. Robinson, London School of Economics, London, UK; e-mail: p.m.robinson@lse.ac.uk.
Footnotes
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We are grateful to Peter Phillips and three referees for constructive comments that have improved the article.

Footnotes
References
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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