I consider a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a … transformed data and applies standard techniques for estimation of panel vector-autoregressive models. I compare the small …

An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite … signal and noise memory, the strength of autocorrelation, the size of the IV set, and the panel length. Finally, some …

measurement errors in an autoregressive panel data model. Finite memory of disturbances, latent regressors and measurement errors …

rank matrices in cross-section, panel, and time-series analysis, including estimation of cointegration relations in time … series and panels. – Estimation ; Reduced Rank Regression ; FIML, Panel-cointegration, Cointegration with Heteroskedasticity …

an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …

This paper reconsiders the long-run economic relationship between health care expenditure and income using a panel of … cointegration properties between health care spending and income. This is done in a panel data context controlling for both cross … dependence. Heterogeneity is handled through fixed effects in a panel homogeneous model and through a panel heterogeneous model …

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …