Arellano, Manuel (contributor); … - 2006
iT
) and lagged y
0
s is given by:
f
it
(y
it
|θ
0
,α
i0
) ≡ f(y
it
|x
it
,y
i(t−1)
;θ
0
,α
i0
),
5
which leads to the …=1
(y
it
−x
0
it
µ−α
i
)
2
σ
2
where x
it
=(y
i,t−1
,...,y
i,t−p
)
0
and µ =
¡
µ
1
,...,µ
p
¢
0
.
We show in Appendix C …
exp(x
0
it
θ)]
2
!
−1/2
. (20)
Then, by Proposition 1 one can add a quadratic adjustment in (θ−θ
0
) and (α
i
−α
i0
) to …