Han, Chirok; Phillips, Peter C.B.; Sul, Donggyu - Cowles Foundation for Research in Economics, Yale University - 2010
This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic … effects and retains information and signal strength in cases where there is a root at or near unity. The resulting "panel … of the approach continue to hold for fixed and even small n. For panel data modeling purposes, a general …