This paper studies estimation of a panel data model with latent structures where individuals can be classified into … within each group is not required but can be used to improve the accuracy of classification and estimation in finite samples …. Simulations evaluate performance and corroborate the asymptotic theory in several practical design settings. Two empirical …

, observational data computations, and Monte Carlo simulations to assess the use of various estimation methodologies, including … massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity … across individual station level observations. Difference GMM and Within Group (WG) estimation have little bias and WG …

than previously thought. The present study provides asymptotic theory justifying the use of these methods when there are …