On quasi maximum-likelihood estimation of dynamic panel data models

This note gives a simplification of the parameter identification condition provided in Phillips (2010) for quasi maximum-likelihood estimation of dynamic panel data models. Using this simplification, the note shows that for the first-order autoregressive panel data model the parameters are guaranteed to be identified if the number of observations per cross-sectional unit is large enough. The simplification is also used to provide numerical evidence that "large enough" is small. (C) 2015 Elsevier B.V. All rights reserved.