This paper proposes a new specification for dynamic panel data models, where unobserved heterogeneity is modeled by the sum of the usual additive individual effect, and a multiplicative, time varying individual effect. We show that usual GMM estimators based on first-difference or...

This paper presents a model for panel data, where regressors may vary across time, across individuals, or both. Some of the regressors are assumed to be endogenous. The objective is here to extend estimation methods for models with a single random effect to the two-effects case. The properties...

A Capital Asset Pricing Model is estimated on French weekly data, stock returns heteroskedasticity being modelled using ARCH conditional variances. The main objective is to incorporate information generated by the risk premia variability in the underlying pricing model. Empirical results show...

A procedure for estimating parameters of a sample selection model with endogenous regressors is proposed for the case of panel data. The variance-covariance matrix is computed by adapting the Lee, maddala and Trost [1980] approach to panel data. An application of the model to the computation of...