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- W2117131707 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." @default.
- W2117131707 created "2016-06-24" @default.
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- W2117131707 date "2009-01-01" @default.
- W2117131707 modified "2023-10-07" @default.
- W2117131707 title "Efficiency in Large Dynamic Panel Models with Common Factor" @default.
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- W2117131707 doi "https://doi.org/10.2139/ssrn.1392725" @default.
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