Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2015
develops a quasi maximum likelihood (QML) estimation procedure. Under certain regularity conditions, it is shown that the QML … section dimensions of the panel are large. It derives the asymptotic covariance matrix of the QML estimators allowing for the … simulation results are in line with the paper’s key theoretical findings and show that the QML estimators have satisfactory small …