文章基本信息

标题：Maximum Likelihood for Cross-lagged Panel Models with Fixed Effects:
本地全文：下载
作者：Paul D. Allison ; Paul D. Allison ; Richard Williams 等
期刊名称：Socius: Sociological Research For a Dynamic World
印刷版ISSN：2378-0231
出版年度：2017
卷号：3
期号：3
DOI：10.1177/2378023117710578
语种：English
出版社：SAGE Publications
摘要：Panel data make it possible both to control for unobserved confounders and allow for lagged, reciprocal causation. Trying to do both at the same time, however, leads to serious estimation difficulties. In the econometric literature, these problems have been solved by using lagged instrumental variables together with the generalized method of moments (GMM). Here we show that the same problems can be solved by maximum likelihood (ML) estimation implemented with standard software packages for structural equation modeling (SEM). Monte Carlo simulations show that the ML-SEM method is less biased and more efficient than the GMM method under a wide range of conditions. ML-SEM also makes it possible to test and relax many of the constraints that are typically embodied in dynamic panel models.
关键词：panel data; dynamic panel model; fixed effects; cross-lagged model; generalized method of moments; GMM; Arellano-Bond; FIML; SEM; structural equation model; maximum likelihood; predetermined variable; sequentially exogenous variable; xtdpdml; instrumental variable