The DOI matches its OpenAlex record.
Estimation of Dynamic Models with Error Components
Abstract
Observations on N cross-section units at T time points are used to estimate a simple statistical model involving an autoregressive process with an additive term specific to the unit. Different assumptions about the initial conditions are (a) initial state fixed, (b) initial state random, (c) the unobserved individual effect independent of the unobserved dynamic process with the initial value fixed, and (d) the unobserved individual effect independent of the unobserved dynamic process with initial value random. Asymptotic properties of the maximum likelihood and “covariance” estimators are obtained when T → ∞ and when N → ∞. The relationship between the pseudo and conditional maximum likelihood estimators is clarified. A simple consistent estimator that is independent of the initial conditions and the way in which T or N → ∞ is also suggested.
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Research works printed but not linked: 23
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Cited by
Initial conditions and moment restrictions in dynamic panel data models
Blundell, R., & Bond, S. (1998) · Journal of Econometrics · doi:10.1016/s0304-4076(98)00009-8 · Cited by 22,571
Estimating dynamic panel data models: a guide for macroeconomists
Judson, R. A., & Owen, A. L. (1999) · Economics Letters · doi:10.1016/s0165-1765(99)00130-5 · Cited by 2,171
On the effect of mean-nonstationarity in dynamic panel data models
Hayakawa, K. (2009) · Journal of Econometrics · doi:10.1016/j.jeconom.2009.04.008 · Cited by 41
Nnyanzi, J. B., Kavuma, S., Sseruyange, J., & Nanyiti, A. (2022) · Journal of Industrial and Business Economics · doi:10.1007/s40812-022-00216-2 · Cited by 14
Metadata
- Authors
- Anderson, T. W., & Hsiao, C. H.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 1981-09
- Volume
- 76
- Issue
- 375
- Pages
- 598-606
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W3125794091
- Cited by
- 302
- References
- 0
- FWCI
- 3.59
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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