Consistency in Estimation and Model Selection of Dynamic Panel Data Models with Fixed Effects
نویسندگان
چکیده
منابع مشابه
Consistency in Estimation and Model Selection of Dynamic Panel Data Models with Fixed Effects
We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data models with fixed effects. We find that the transformation of fixed effects proposed by Lancaster (2002) does not necessarily lead to consistent estimation of common parameters when some true exogenous regressors are excluded. We propose a data dependent way to specify the prior...
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ژورنال
عنوان ژورنال: Econometrics
سال: 2015
ISSN: 2225-1146
DOI: 10.3390/econometrics3030494