Hsaio, Cheng; Pesaran, M. Hashem; Tahmiscioglu, A. Kamil - Faculty of Economics, University of Cambridge - 1998
A transformed likelihood approach is suggested to estimate fixed effects dynamic panel data models. Conditions on the data generating process of the exogenous variables are given to get around the issue of ?incidental parameters?. The maximum likelihood (MLE) and minimum distance estimator (MDE)...