This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and … known to affect conventional GMM estimation when the autoregressive coefficient (rho) is near unity. In both panel and time … even in very small samples. The approach is applied to panel unit root testing. …

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 …

The asymptotic local powers of various panel unit root tests are investigated. The power envelope is obtained under … on whether or not incidental trends are extracted from the panel data. In the latter case, when the alternative …

unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size … and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by … true localizing parameter is zero (i.e., when there is a panel unit root) and the deterministic trends in the panel are …

) instruments and some panel data models covering moderate time spans and with correspondingly large numbers of instruments. Under … developed based on epiconvergence methods. Some illustrations are provided, including consistent GMM estimation of a panel model …

panel data set consisting of hourly air pollution measurements. The augmented sinusoidal models produce an excellent fit to …

unity with panel data. The two moment conditions studied are obtained by constructing bias corrections to the score … zero (i.e., when there is a panel unit root) and the deterministic trends in the panel are linear. These results, which …

localizing parameter using panel data. Pooling information across individuals in a panel aids the identification and estimation … of the localising parameter and leads to consistent estimation in simple panel models. However, in the important case of … models with concomitant deterministic trends, it is shown that pooled panel estimators of the localising parameter are …

First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling … infinite at the upper bound when the time series sample size T approaching infinity. As the panel width n approaching infinity …