Book contents
- Frontmatter
- Dedication
- Contents
- Figures
- Tables
- Preface to the Fourth Edition
- 1 Introduction
- 2 Linear Static Models with Additive Effects
- 3 Dynamic Models with Additive Specific Effects
- 4 Simultaneous-Equations Models
- 5 Dynamic System
- 6 Discrete Data
- 7 Limited Dependent and Sample Selection Models
- 8 Some Nonlinear Models
- 9 Miscellaneous Topics
- 10 Interactive Effects Models
- 11 Spatial Models and Tests for Cross-Sectional Dependence
- 12 Program Evaluation Using Panel Data
- 13 Variable Coefficients Models
- 14 Big Data Analytics
- References
- Author Index
- Subject Index
- Econometric Society Monographs Series
3 - Dynamic Models with Additive Specific Effects
Published online by Cambridge University Press: 19 May 2022
Book contents
- Frontmatter
- Dedication
- Contents
- Figures
- Tables
- Preface to the Fourth Edition
- 1 Introduction
- 2 Linear Static Models with Additive Effects
- 3 Dynamic Models with Additive Specific Effects
- 4 Simultaneous-Equations Models
- 5 Dynamic System
- 6 Discrete Data
- 7 Limited Dependent and Sample Selection Models
- 8 Some Nonlinear Models
- 9 Miscellaneous Topics
- 10 Interactive Effects Models
- 11 Spatial Models and Tests for Cross-Sectional Dependence
- 12 Program Evaluation Using Panel Data
- 13 Variable Coefficients Models
- 14 Big Data Analytics
- References
- Author Index
- Subject Index
- Econometric Society Monographs Series
Summary
Dynamic linear error-components models are introduced. Issues of multi-dimensional asymptotics are discussed. Large sample properties of the instrumental variable estimator (IV), generalized method of moments estimator (GMM), and maximum likelihood estimator (MLE) when N is fixed and T goes to infinity, or T is fixed and N goes to infinity, or both N and T large, are examined. Bias correction estimators are introduced.
- Type
- Chapter
- Information
- Analysis of Panel Data , pp. 63 - 106Publisher: Cambridge University PressPrint publication year: 2022