Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods

null null A transformed likelihood approach is suggested to estimate fixed effects dynamic panel data models. Conditions on the data generating process of the exogenous variables are given to get around the issue of “incidental parameters”. The maximum likelihood (MLE) and minimum distance estimator (MDE) are suggested. Both estimators are shown to be consistent and asymptotically normally distributed. A Hausman-type specification test is...