FDML versus GMM for Dynamic Panel Models with Roots Near Unity
This paper evaluates the first-differenced maximum likelihood (FDML) and the continuously updating system generalized method of moments (CU-GMM) estimators of dynamic panel models when the data is close to non-stationary. This case is far from trivial, as a high degree of persistence is the norm rat...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-08-01
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| Series: | Journal of Risk and Financial Management |
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| Online Access: | https://www.mdpi.com/1911-8074/14/9/405 |