The time series and cross-section asymptotics of dynamic panel data estimators

Econometrica

Volumn 71, Issue 4, 2003, Pages 1121-1159

  Alvarez, Javier ^a   Arellano, Manuel ^b  

^a UNIVERSITY OF ALICANTE   (Spain)

^b CEMFI   (Spain)

Author keywords

Autoregressive models; Double asymptotics; Generalized method of moments; Maximum likelihood; Panel data; Random effects; Within groups

Indexed keywords

ASYMPTOTIC STABILITY; ERROR ANALYSIS; MAXIMUM LIKELIHOOD ESTIMATION; METHOD OF MOMENTS; REGRESSION ANALYSIS;

AUTOREGRESSIVE MODELS; DOUBLE ASYMPTOTICS; GENERALIZED METHOD OF MOMENTS; RANDOM EFFECTS;

TIME SERIES ANALYSIS;

EID: 0141718495     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00441     Document Type: Article

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