Likelihood inference and the role of initial conditions for the dynamic panel data model

A-Tier
Journal: Journal of Econometrics
Year: 2021
Volume: 221
Issue: 1
Pages: 160-179

Authors (2)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it ignores additional information available in the data. The zero initial condition is trivially satisfied by subtracting initial observations from the data. We show that differencing out the data further erodes efficiency compared to drawing inference conditional on the first observations.

Technical Details

RePEc Handle
repec:eee:econom:v:221:y:2021:i:1:p:160-179
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-26