3 papers
econ.EM2025
Uniform Quasi ML based inference for the panel AR(1) model
Hugo Kruiniger
Maximum Likelihood (ML) offers attractive alternatives to Generalized Method of Moments (GMM) estimators for dynamic panel data models. However, to date no identification-robust in…
econ.EM2025
A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions
Hugo Kruiniger
In this paper we consider two generalizations of Lancaster's (Review of Economic Studies, 2002) Modified Maximum Likelihood estimator (MMLE) for the panel AR(1) model with fixed ef…
econ.EM2023
Large sample properties of GMM estimators under second-order identification
Hugo Kruiniger
Dovonon and Hall (Journal of Econometrics, 2018) proposed a limiting distribution theory for GMM estimators for a p - dimensional globally identified parameter vector ϕ when local…