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 t...
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
München
CESifo
2014
|
| Series: | CESifo working paper
4822 : Category 12, Empirical and theoretical methods |
| Online Access: | Volltext |
| Summary: | 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. |
| Physical Description: | 40 S. |
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| 520 | 1 | |a 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. | |
| 700 | 1 | |a Pesaran, M. Hashem |d 1946- |e Verfasser |0 (DE-588)122674146 |4 aut | |
| 700 | 1 | |a Smith, L. Vanessa |e Verfasser |0 (DE-588)130374059 |4 aut | |
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| author | Hayakawa, Kazuhiko 1979- Pesaran, M. Hashem 1946- Smith, L. Vanessa |
| author_GND | (DE-588)130350915 (DE-588)122674146 (DE-588)130374059 |
| author_facet | Hayakawa, Kazuhiko 1979- Pesaran, M. Hashem 1946- Smith, L. Vanessa |
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| id | DE-604.BV042060513 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:11:40Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027501396 |
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| physical | 40 S. |
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| publishDate | 2014 |
| publishDateSearch | 2014 |
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| publisher | CESifo |
| record_format | marc |
| series | CESifo working paper |
| series2 | CESifo working paper |
| spelling | Hayakawa, Kazuhiko 1979- Verfasser (DE-588)130350915 aut Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects Kazuhiko Hayakawa ; M. Hashem Pesaran ; L. Vanessa Smith München CESifo 2014 40 S. txt rdacontent n rdamedia nc rdacarrier CESifo working paper 4822 : Category 12, Empirical and theoretical methods 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. Pesaran, M. Hashem 1946- Verfasser (DE-588)122674146 aut Smith, L. Vanessa Verfasser (DE-588)130374059 aut CESifo working paper 4822 : Category 12, Empirical and theoretical methods (DE-604)BV013978326 4822 http://www.cesifo-group.de/de/ifoHome/search/result.html?main.query=4822 Verlag kostenfrei Volltext |
| spellingShingle | Hayakawa, Kazuhiko 1979- Pesaran, M. Hashem 1946- Smith, L. Vanessa Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects CESifo working paper |
| title | Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects |
| title_auth | Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects |
| title_exact_search | Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects |
| title_full | Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects Kazuhiko Hayakawa ; M. Hashem Pesaran ; L. Vanessa Smith |
| title_fullStr | Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects Kazuhiko Hayakawa ; M. Hashem Pesaran ; L. Vanessa Smith |
| title_full_unstemmed | Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects Kazuhiko Hayakawa ; M. Hashem Pesaran ; L. Vanessa Smith |
| title_short | Transformed maximum likelihood estimation of short dynamic panel data models with interactive effects |
| title_sort | transformed maximum likelihood estimation of short dynamic panel data models with interactive effects |
| url | http://www.cesifo-group.de/de/ifoHome/search/result.html?main.query=4822 |
| volume_link | (DE-604)BV013978326 |
| work_keys_str_mv | AT hayakawakazuhiko transformedmaximumlikelihoodestimationofshortdynamicpaneldatamodelswithinteractiveeffects AT pesaranmhashem transformedmaximumlikelihoodestimationofshortdynamicpaneldatamodelswithinteractiveeffects AT smithlvanessa transformedmaximumlikelihoodestimationofshortdynamicpaneldatamodelswithinteractiveeffects |