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

作者：Hsiao, Cheng; Zhou, Qiankun^*

来源：Statistical Methods and Applications, 2016, 25(4): 675-683.

DOI：10.1007/s10260-016-0355-x

• Dynamic panel model
• Maximum likelihood estimation
• Long difference

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.

• 出版日期2016-11
• 单位清华大学; 厦门大学