Empirical likelihood estimation in dynamic panel data models

Angelica Gonzalez

Empirical likelihood estimation in dynamic panel data models

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Abstract / Description of output

This paper proposes and analyses an hybrid of Owen's (1988,1990,1991) Empirical Likelikhood (EL) and bootstrap, EL-bootstrap, as an alternative to the General Method of Monuments (GMM) within dynamic panel data models. We concentrate on the finish-sample size properties of their overidentification tests. Our results show that EL-bootstrap may be a good alternative to GMM estimation within this setting. The practical usefulness of our findings is illustrated via application on an AR(1) univeriate panel data model with individual effects using the cash-flow series of 174 firms in the United States.

Original language	English
Publisher	Edinburgh School of Economics Discussion Paper Series
Number of pages	40
Publication status	Published - 13 Aug 2007

Publication series

Name	ESE Discussion Papers
No.	168

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© Gonzalez, A. (2007). Empirical likelihood estimation in dynamic panel data models. (ESE Discussion Papers; No. 168). Edinburgh School of Economics Discussion Paper Series.
Final published version, 380 KB

http://www.econ.ed.ac.uk/papers/panel_data_improved_paper.pdf

Cite this

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Empirical likelihood estimation in dynamic panel data models

Abstract / Description of output

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