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GQL estimation in linear dynamic models for panel data. (English) Zbl 1348.62221

Summary: In the econometrics literature, it is standard practice to use the existing instrumental variables as well as generalized method of moments approaches for the estimation of the parameters of a linear dynamic mixed model for panel data. In this paper, we introduce a generalized quasi-likelihood estimation approach that produces estimates with smaller mean squared errors when compared with the aforementioned and other existing approaches.

MSC:

62J12 Generalized linear models (logistic models)
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10 Point estimation
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References:

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