We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing … equilibrium exchange rate determination in a cross-country panel, we find evidence of largely heterogeneous adjustment and more …

German municipalities using a panel on municipalities in the two largest German states from 1999 to 2006. We find significant …

This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …