The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 …

The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 …

This paper develops an instrumental variable (IV) estimator for consistent estimation of dynamic panel data models with … estimators in dynamic panel data models. The finite sample performance of the proposed estimator is investigated using simulated …

panel data error component model. We derive moment conditions to estimate the parameters of the higher order spatial …

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown in a Monte Carlo study to extend to the panel data system GMM estimator. …

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent …

under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental …

endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM … Poisson for panel data; GMM estimation using quasi-differenced moment conditions eliminating unobserved heterogeneity and …

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