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

Hsiao Cheng; Zhou Qiankun

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

机译：N和T都大时使用长差分变换的动态面板的拟最大似然估计的渐近分布

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摘要

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.

机译：该说明表明，通过采用Grassetti方法（Stat Methods Appl 20：221-240，2011）采取长时差来消除时间间隔，可以轻松得出动态面板模型的准最大似然估计的渐近性质。不变的个体特效。

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《Statistical Methods and Applications》 |2016年第4期|675-683|共9页
作者
Hsiao Cheng; Zhou Qiankun;
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作者单位

Univ Southern Calif, Dept Econ, Univ Pk, Los Angeles, CA 90089 USA|Natl Tsing Hua Univ, Dept Quantitat Finance, Hsinchu, Taiwan|Xiamen Univ, WISE, Xiamen, Peoples R China;

SUNY Binghamton, Dept Econ, Binghamton, NY 13902 USA;

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正文语种 eng
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关键词
Dynamic panel model; Maximum likelihood estimation; Long difference;

机译：动态面板模型;最大似然估计;长差异;

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2. Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large [J] . Jihai Yu, Robert de Jong, Lung-fei Lee Journal of Econometrics . 2008,第1期

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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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6. A GENERAL ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION IN SEMIPARAMETRIC REGRESSION MODELS WITH CENSORED DATA [O] . Donglin Zeng, D. Y. Lin -1

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7. Quasi-Maximum Likelihood Estimators For Spatial Dynamic Panel Data With Fixed Effects When Both n and T Are Large: A . . . [O] . Jihai Yu, et al. 2007

机译：当n和T都很大时，具有固定效应的空间动态面板数据的拟极大似然估计：a。。。

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

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