3 citations · 3 across the 5 of their papers we have counts for
5 papers
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…
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…
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…
Root-n-consistent Conditional ML estimation of dynamic panel logit models with fixed effects
Hugo Kruiniger
In this paper we first propose a root-n-consistent Conditional Maximum Likelihood (CML) estimator for all the common parameters in the panel logit AR(p) model with strictly exogeno…
Further results on the estimation of dynamic panel logit models with fixed effects
Hugo Kruiniger
Kitazawa (2013, 2016) showed that the common parameters in the panel logit AR(1) model with strictly exogenous covariates and fixed effects are estimable at the root-n rate using t…