This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the … robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian … specifications which includes the dynamic panel model with random effects, with cross-correlated effects à la Chamberlain, for the …

This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

With the increased availability of longitudinal data, dynamic panel data models have become commonplace. Moreover, the … included in the model. In this paper, we propose several new estimators for dynamic panel data models when data are irregularly …

This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel …

-time models. We investigate the robustness of Bayesian panel data models to possible misspecification of the prior distribution … a general â toolboxâ for a wide range of specifications which includes the dynamic space- time panel model with random … effects, with cross-correlated effects à la Chamberlain, for the Hausman-Taylor world and for dynamic panel data models with …

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent … the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains lagged values of the …

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …