Quasi maximum likelihood estimation of dynamic panel data models

Phillips, RF

Phillips, RF (reprint author), George Washington Univ, Dept Econ, Washington, DC 20052 USA.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018; 47 (16): 3970

Abstract

This article establishes the almost sure convergence and asymptotic normality of levels and differenced quasi maximum likelihood (QML) estimators of d......

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