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 … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent …. -- dynamic panel data model with fixed effect ; incidental parameter problem ; consistency in estimation ; model selection …

We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data …

latent heterogeneity for panel probit models. Within a Bayesian framework an estimation algorithm dealing with the inherent … ; MCMC Methods ; Panel Probit Model ; Mixture Modelling …

A hierarchical Bayesian model for spatial panel data is proposed. The idea behind the proposed method is to analyze … spatially dependent panel data by means of a separable covariance matrix. Let us indicate the observations as yit, i = 1, ... ,N …

This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the … robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian … specifications which includes the dynamic panel model with random effects, with cross-correlated effects à la Chamberlain, for the …

The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two … performance of our estimator relative to classic panel estimators using data on earnings and crime. …

-time models. We investigate the robustness of Bayesian panel data models to possible misspecification of the prior distribution … general “toolbox” for a wide range of specifications which includes the dynamic space- time panel model with random effects …, with cross-correlated effects à la Chamberlain, for the Hausman-Taylor world and for dynamic panel data models with …

Hong and Kao (2004) proposed a panel data test for serial correlation of unknown form. However, their test is …'s (2011) time series test for serial correlation to the panel data case in the framework proposed by Hong and Kao (2004). Our …

consumer panel. Under the first system, there is a different and independent random sample of N consumers in each period and …