This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

latent heterogeneity for panel probit models. Within a Bayesian framework an estimation algorithm dealing with the inherent … ; MCMC Methods ; Panel Probit Model ; Mixture Modelling …

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent …. -- dynamic panel data model with fixed effect ; incidental parameter problem ; consistency in estimation ; model selection …

under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …