without a degrees of freedom adjustment), applied to the fixed effects estimator for panel data with serially uncorrelated … (with or without a degrees of freedom adjustment), applied to the fixed effects estimator for panel data with serially …

This note presents a simple, linear test for individual effects in dynamic models using panel data; building upon the … techniques of Holtz-Eakin, Newey, and Rosen (HNR) [198S] for estimating vector autoregressions using panel data. While … moment conditions implied by the presence of individual effects and is particularly suited for dynamic models using panel …

distributed lag relationships based on single time-series of observations have been usually rather imprecise. The promise of panel …

This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …

We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed … approximation to the exact finite sample distribution. We use panel dynamic OLS to estimate coefficients of the long-run money … demand function from a panel of 19 countries with annual observations that span from 1957 to 1996. The estimated income …

We propose two new estimators for a wide class of panel data models with nonseparable error terms and endogenous … depend on the explanatory variables once one conditions on z. In some panel data cases we may find z by making the assumption … in the panel is exchangeable in the values of those explanatory variables. This situation may be realistic, in particular …

inferred using only cross-sectional data. Panel or longitudinal data where the same units are observed repeatedly at different … units who respond in initial waves of the panel may drop out in subsequent waves, so that the subsample with complete data … for all waves of the panel can be less representative of the population than the original sample. Sometimes, in the hope …

By 1989 the Michigan Panel Study on Income Dynamics (PSID) had experienced approximately 50 percent sample loss from …

This paper considers estimation and testing of vector autoregression coefficients in panel data, and applies the …