Formulation and estimation of dynamic models using panel data

This paper presents a statistical analysis of time series regression models for longitudinal data with and without lagged dependent variables under a variety of assumptions about the initial conditions of the processes being analyzed. The analysis demonstrates how the asymptotic properties of estima...

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Bibliographic Details
Published in:Journal of econometrics 1982, Vol.18 (1), p.47-82
Main Authors: Anderson, T.W., Hsiao, Cheng
Format: Article
Language:English
Subjects:
Dynamic
Econometrics
Economic models
Economic theory
Estimating techniques
Longitudinal studies
Mathematical analysis
Time series
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Summary:This paper presents a statistical analysis of time series regression models for longitudinal data with and without lagged dependent variables under a variety of assumptions about the initial conditions of the processes being analyzed. The analysis demonstrates how the asymptotic properties of estimators of longitudinal models are critically dependent on the manner in which samples become large: by expanding the number of observations per person, holding the number of people fixed, or by expanding the number of persons, holding the number of observations per person fixed. The paper demonstrates which parameters can and cannot be identified from data produced by different sampling plans.
ISSN:0304-4076
1872-6895
DOI:10.1016/0304-4076(82)90095-1