Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model

By H. Kruiniger. 2008

59 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/43135de70803b1284e1d06a559d918ae37853108

Citations in the corpus

• Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models (2015, unknown): “Kruiniger (2008) considers ML estimation of a stationary/unit root AR(1) panel data models.”
• X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION (2013, unknown): “Asymptotics for the FDMLE procedure are developed in Kruiniger (2008) only for the panel AR(1) model, and computation is much more difficult in the case of the panel AR(p) model.”