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

Authors
Wooldridge, JM
Citation
Jm. Wooldridge, A framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables, ECON LETT, 68(3), 2000, pp. 245-250
Citations number
12
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
68
Issue
3
Year of publication
2000
Pages
245 - 250
Database
ISI
SICI code
0165-1765(200009)68:3<245:AFFEDU>2.0.ZU;2-C
Abstract
I show how to construct the likelihood function for the conditional maximum likelihood estimator in dynamic, unobserved effects models where not all c onditioning variables are strictly exogenous. The method for handling the i nitial conditions problem appears to be novel, and offers a flexible, relat ively simple alternative to existing methods. (C) 2000 Elsevier Science S.A . All rights reserved. JEL classification: C33.