A framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables

被引：47
|
作者：
Wooldridge, JM [1 ]
机构：
[1] Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA
来源：
ECONOMICS LETTERS | 2000年 / 68卷 / 03期
关键词：
panel data; dynamic model; unobserved effects; initial conditions;
D O I：
10.1016/S0165-1765(00)00230-5
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
I show how to construct the likelihood function for the conditional maximum likelihood estimator in dynamic, unobserved effects models where not all conditioning variables are strictly exogenous. The method for handling the initial conditions problem appears to be novel, and offers a flexible, relatively simple alternative to existing methods. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: C33.
引用
收藏
页码：245 / 250
页数：6
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