scholarly journals On Maximum Likelihood Estimation of Dynamic Panel Data Models

2017 ◽  
Vol 79 (4) ◽  
pp. 463-494 ◽  
Author(s):  
Maurice J.G. Bun ◽  
Martin A. Carree ◽  
Artūras Juodis
Keyword(s):  
Maximum Likelihood ◽  
Panel Data ◽  
Maximum Likelihood Estimation ◽  
Likelihood Estimation ◽  
Dynamic Panel Data ◽  
Data Models ◽  
Panel Data Models ◽  
Dynamic Panel ◽  
Dynamic Panel Data Models

scholarly journals Quasi–maximum Likelihood Estimation of Linear Dynamic Short-T panel-data Models

2016 ◽  
Vol 16 (4) ◽  
pp. 1013-1038 ◽  
Author(s):  
Sebastian Kripfganz
Keyword(s):  
Maximum Likelihood ◽  
Panel Data ◽  
Maximum Likelihood Estimation ◽  
Likelihood Estimation ◽  
Dynamic Panel Data ◽  
Data Models ◽  
Panel Data Models ◽  
Dynamic Panel ◽  
Linear Dynamic ◽  
Quasi Maximum Likelihood

In this article, I describe the xtdpdqml command for the quasi–maximum likelihood estimation of linear dynamic panel-data models when the time horizon is short and the number of cross-sectional units is large. Based on the theoretical groundwork by Bhargava and Sargan (1983, Econometrica 51: 1635–1659) and Hsiao, Pesaran, and Tahmiscioglu (2002, Journal of Econometrics 109: 107–150), the marginal distribution of the initial observations is modeled as a function of the observed variables to circumvent a short- T dynamic panel-data bias. Both random-effects and fixed-effects versions are available.

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