Estimation for Dynamic Panel Data with Individual Effects Articles uri icon

publication date

  • March 2020

start page

  • 185

end page

  • 222


  • 2


  • 36

International Standard Serial Number (ISSN)

  • 0266-4666

Electronic International Standard Serial Number (EISSN)

  • 1469-4360


  • The article discusses statistical inference in parametric models for panel data. The models feature dynamics of a general nature, individual effects, and possible explanatory variables. The focus is on large-cross-section inference on Gaussian pseudo maximum likelihood estimates with temporal dimension kept fixed, partially complementing and extending recent work of the authors. We focus on a particular kind of initial condition but go on to discuss implications of alternative initial conditions. Some possible further developments are briefly reviewed.


  • Economics


  • parametric models; panel data models; asymptotic statistical properties; dynamic panel data