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 …

The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 … replaced by a data-driven statistical decision. -- Dynamic Panel Data ; Generalised Method of Moments ; Instrument …

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

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

The GMM estimator that is usually employed in the panel data literature, has an unbounded influence function. This … illustration is provided, in which the determinants of a firm's capital structure are investigated using a panel of American firms …

panel data model, do not separately identify the autoregressive parameter when its true value is close to one and the …

The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two … performance of our estimator relative to classic panel estimators using data on earnings and crime …

The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two …

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 …

The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two … performance of our estimator relative to classic panel estimators using data on earnings and crime. …