We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing … equilibrium exchange rate determination in a cross-country panel, we find evidence of largely heterogeneous adjustment and more …

Equilibrium real exchange rate and corresponding misalignment estimates differ tremendously depending on the panel … cross-section (space) variation in the panel. The study shows that conventional panel estimation methods (pooled OLS, fixed … literature to show that the distortion is generally very large. This suggests the use of the CRE model for the panel estimation …

dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We …

pdynmc is an R-package for GMM estimation of linear dynamic panel data models that are based on linear and nonlinear … statistician. The description of the functionality is based on replicating the results on a publicly available panel data set …. Additionally, we link our implementation to other software and packages for GMM estimation of linear dynamic panel data models. …

The properties of classical panel data estimators including fixed effect, first-differences, random effects, and … generalized method of moments-instrumental variables estimators in both static as well as dynamic panel data models are …

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

The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel …

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive …

Measurement error causes a downward bias when estimating a panel data linear regression model. The panel data context …

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …