Arbeitspapier
Adaptive estimation of the dynamic linear model with fixed effects
This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where T is the number of observations per individual.
- Language
-
Englisch
- Bibliographic citation
-
Series: Research Report ; No. 2002-10
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Bayesian Analysis: General
Semiparametric and Nonparametric Methods: General
- Subject
-
Panel data
Efficient Estimation
Bayesian Analysis
- Event
-
Geistige Schöpfung
- (who)
-
Woutersen, Tiemen
Voia, Marcel
- Event
-
Veröffentlichung
- (who)
-
The University of Western Ontario, Department of Economics
- (where)
-
London (Ontario)
- (when)
-
2002
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Woutersen, Tiemen
- Voia, Marcel
- The University of Western Ontario, Department of Economics
Time of origin
- 2002
Other Objects (12)
Linear fixed-effects estimation with non-repeated outcomes
On adaptive estimation in partial linear models
On adaptive estimation in partial linear models
On adaptive estimation in partial linear models
On adaptive estimation in partial linear models
Feasible estimation of linear models with N-fixed effects
Dynamic linear panel regression models with interactive fixed effects
Dynamic linear panel regression models with interactive fixed effects
Adaptive LASSO estimation for functional hidden dynamic geostatistical models
On GMM estimation of linear dynamic panel data models
Adaptive copula estimation
A unified framework for dynamic treatment effect estimation in interactive fixed effect models
Linear fixed-effects estimation with non-repeated outcomes
On adaptive estimation in partial linear models
On adaptive estimation in partial linear models
On adaptive estimation in partial linear models
On adaptive estimation in partial linear models
Feasible estimation of linear models with N-fixed effects
Dynamic linear panel regression models with interactive fixed effects
Dynamic linear panel regression models with interactive fixed effects
Adaptive LASSO estimation for functional hidden dynamic geostatistical models
On GMM estimation of linear dynamic panel data models
Adaptive copula estimation
A unified framework for dynamic treatment effect estimation in interactive fixed effect models
Linear fixed-effects estimation with non-repeated outcomes
On adaptive estimation in partial linear models
On adaptive estimation in partial linear models
On adaptive estimation in partial linear models
On adaptive estimation in partial linear models
Feasible estimation of linear models with N-fixed effects
Dynamic linear panel regression models with interactive fixed effects
Dynamic linear panel regression models with interactive fixed effects
Adaptive LASSO estimation for functional hidden dynamic geostatistical models
On GMM estimation of linear dynamic panel data models
Adaptive copula estimation