This paper considers the estimation problem of structural models for which empirical restrictions are characterized by …. To address the issue of non-convergence, we propose alternative sequential estimation procedures that can achieve … convergence even when the NPL algorithm does not. Upon convergence, some of our proposed estimation algorithms produce more …

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao … trivial due to the incidental parameters problem that arises, and its implications for estimation and inference. We approach …

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …

This paper develops a unified framework for fixed and random effects estimation of higher-order spatial autoregressive … moments (GM) estimation procedure of the spatial autoregressive parameters of the disturbance process and define both a random …