Title: Estimation for dynamic panel data with individual effects
Authors: Carlos Velasco - Universidad Carlos III de Madrid (Spain) [presenting]
Peter Robinson - London School of Economics (United Kingdom)
Abstract: Statistical inference on parametric models for panel data is discussed. The models feature dynamics of a general nature, individual effects and possible explanatory variables. The focus is on large-cross-section inference on Gaussian pseudo maximum likelihood ratio estimates with temporal dimension kept fixed, partially complementing and extending recent work of the authors. We focus on a particular kind of initial condition but go on to discuss implications of alternative initial conditions. Some possible further developments are briefly reviewed.