This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression … extensive set of new results on the asymptotic behavior of panel IV estimators in weak instrument settings. …

This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly … the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data …

panel data models where the observables are affected by common shocks, modelled through unobservable factors, are studied … the panel TSLS and LIML estimators, as the cross section dimension tends to infinity, is the lack of correlation between … shocks. If this condition fails, both estimators have degenerate distributions. When the panel TSLS and LIML estimators are …

We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data …

panel data model, comparing the version based on the estimators computed from the untransformed random effects model …

In this paper, we consider the estimation of a dynamic panel data model with non-stationary multi-factor error …

pandemic's impact on the economic activity of six Euro area economies. A class of dynamic panel data models and their … cross-sectional dependence in the error processes. Estimation and inference for this class of panel models are based on both …

This paper develops a Stein-like combined estimator for large heterogeneous panel data models under common structural …