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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Communication dans un congrès
41èmes Journées de Statistique, SFdS, Bordeaux, 2009, Bordeaux, France, France. 2009
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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. 2009. 〈inria-00386744〉

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