This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a …

cross-section dimension N and the time series dimension T on the asymptotic properties of estimators for dynamic panel data …

We study the identification and estimation of panel dynamic simultaneous equations models. We show that the presence of …-section dimension, N, or the time series dimension, T, goes to infinity. We propose three limited information estimator: panel simple … instrumental variables (PIV), panel generalized two stage least squares (PG2SLS), and panel limited information maximum likelihood …