This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression …-Hsiao (AH) IV procedure. It is well known that the AH IV estimation suffers from weak instrumentation when p is near unity. But … it is not so well known that AH IV estimation is still consistent when p = 1. In fact, the AH estimating equation is very …

This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic … implementation. The PFAE estimation method is also applicable to dynamic panel models with exogenous regressors. Some simulation … results are reported giving comparisons with other dynamic panel estimation methods …

First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling … estimation is based on the whole domain over which the log-likelihood is defined. However, extending the domain of the likelihood …

This paper considers estimation and inference concerning the autoregressive coefficient (ρ) in a panel autoregression … least the prescribed coverage probability in large samples. Simulations confirm that the proposed interval estimation …

these asymptotics are relevant include instrumental variable (IV) estimation with many (possibly weak or uninformed … parameter, and conditions for consistent GMM estimation are given. A general framework for the GMM limit distribution theory is … developed based on epiconvergence methods. Some illustrations are provided, including consistent GMM estimation of a panel model …

This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and … incidental trends. A simple consistent GMM estimation method is proposed that avoids the weak moment condition problem that is … known to affect conventional GMM estimation when the autoregressive coefficient (rho) is near unity. In both panel and time …

discretization bias and its relationship to estimation bias in both multivariate and in univariate settings. In the univariate …

theory for inference, has omnibus power against general nonlinear alternatives, and allows estimation of an unknown …