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Efficiency in large dynamic panel models with common factor

Abstract : This paper deals with efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. The specification accounts for both micro- and macro-dynamics, induced by the lagged individual observation and the common stochastic factor, respectively. For large cross-sectional and time dimensions, and under a semiparametric identification condition, we derive the efficiency bound and introduce efficient estimators for both the micro- and macro-parameters. In particular, we show that the fixed effects estimator of the micro-parameter is not only consistent, but also asymptotically efficient.The results are illustrated with the stochastic migration model for credit risk analysis.
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Submitted on : Friday, May 22, 2009 - 9:17:47 AM
Last modification on : Thursday, April 22, 2021 - 1:20:03 PM
Long-term archiving on: : Monday, October 15, 2012 - 10:56:07 AM

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Patrick Gagliardini, Christian Gourieroux. Efficiency in large dynamic panel models with common factor. 41èmes Journées de Statistique, SFdS, Bordeaux, 2009, Bordeaux, France, France. ⟨inria-00386744⟩

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