This paper considers estimation of panel data models with fixed effects. First, we will show that a consistent … "unrestricted fixed effects" estimator does not exist for autoregressive panel data models with initial conditions. We will derive … widely used GMM estimators for the conditional AR(1) panel model are inconsistent under trending fixed effects sequences …

This paper considers inference procedures for two types of dynamic linear panel data models with fixed effects (FE … presents likelihood based unit root tests. Finally, the properties of CML, GMM, and Modified ML estimators for dynamic panel …

We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic … by estimating a panel VAR on sector level data for labour productivity and hours worked growth for Canada, Germany …

This paper proposes a method for estimating a censored panel data model with a lagged latent dependent variable and … destroyed by censoring, is restored. Based on the restored symmetry, orthogonality conditions are constructed and GMM estimation … is implemented. The estimation method is used to study earnings dynamics using the matched data from the Current …

approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …

This paper explores estimation of a class of non-linear dynamic panel data models with additive unobserved individual … transition models. We derive an efficient set of moment restrictions for estimation and apply the results to estimation of panel …-specific effects. The models are specified by moment restrictions. The class includes the panel data AR(p) model and panel smooth …

This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …

the estimation of long-run effects in dynamic heterogeneous panel data models with cross-sectionally dependent errors. The …

This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …

I derive the unconditional transformed likelihood function and its derivatives for a fixed-effects panel data model … polynomial of the spatial weights matrix and, in general, tends to infinity with increasing sample size. Consistent estimation …