if the time dimension of the panel is as small as the number of its regressors. Extensions to panels with time effects …

This paper considers the problem of identification, estimation and inference in the case of spatial panel data models … errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of spatial …

literature on nonparametric identification in panel models. …

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial … assumptions for a generalized moments (GM) estimation procedure of the spatial autoregressive parameters of the disturbance … small sample performance. -- Higher-order spatial dependence ; generalized moments estimation ; two-stages least squares …

This paper considers spatial autoregressive panel data models and extends their analysis to the case where the spatial … develops a quasi maximum likelihood (QML) estimation procedure. Under certain regularity conditions, it is shown that the QML … section dimensions of the panel are large. It derives the asymptotic covariance matrix of the QML estimators allowing for the …

estimation of unconditional quantile partial effects in a model with correlated random effects. The results show that the impact …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed … effects in the panel. It is shown that the pooled estimator remains consistent so long as delta < 1, and is asymptotically …

This paper considers a class of GMM estimators for general dynamic panel models, allowing for cross sectional … differencing transformation to aid in the estimation of factor components while maintaining orthogonality of moment conditions …