Quasi maximum likelihood estimation of linear dynamic short-T panel-data models

Kripfganz Sebastian

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Quasi maximum likelihood estimation of linear dynamic short-T panel-data models

机译：线性动态短T面板数据模型的拟最大似然估计

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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.

机译：在本文中，我描述了xtdpdqml命令，用于当时间范围较短且横截面单元数较大时，线性动态面板数据模型的拟最大似然估计。根据Bhargava和Sargan（1983，Econometrica 51：1635-1659）和Hsiao，Pesaran和Tahmiscioglu（2002，Journal of Econometrics 109：107-150）的理论基础，将初始观测值的边际分布建模为观测变量的功能来规避短T动态面板数据偏差。随机效果和固定效果版本均可用。

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来源
《The stata journal》 |2016年第4期|1013-1038|共26页
作者
Kripfganz Sebastian;
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作者单位

Univ Exeter, Sch Business, Exeter, Devon, England;

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正文语种 eng
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关键词
st0463; xtdpdqml; dynamic panel data; random effects; fixed effects; short-T bias; quasi-maximum likelihood estimation; initial observations; unbalanced panel data;

机译：st0463;xtdpdqml;动态面板数据;随机效应;固定效应;短T偏差;准最大似然估计;初步观察;面板数据不均衡;

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3. Identification and frequency domain quasi‐maximum likelihood estimation of linearized dynamic stochastic general equilibrium models [J] . Zhongjun Qu, Denis Tkachenko Quantitative Economics . 2012,第1期

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4. Maximum likelihood bearing estimation by quasi-Newton method using a uniform linear array [C] . Watanabe, H., Suzuki, . 1991

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5. A comparison of alternative approximations to maximum likelihood estimation for hierarchical generalized linear models: The logistic-normal model case. [D] . Yosef, Matheos. 2001

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6. Performance Comparison of Various Maximum Likelihood Nonlinear Mixed-Effects Estimation Methods for Dose–Response Models [O] . Elodie L. Plan, Alan Maloney, France Mentré, 2012

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7. Quasi–maximum Likelihood Estimation of Linear Dynamic Short-T panel-data Models [O] . Sebastian Kripfganz 2016

机译：线性动态短T面板数据模型的准最大似然估计

Quasi maximum likelihood estimation of linear dynamic short-T panel-data models

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