This paper proposes new GMM estimators for the panel AR(1) model when the ratio of the variance of the individual …

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 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 …

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 …

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 …

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 …

For a panel data regression equation with two-way unobserved heterogeneity, individual-specific and period …

This paper considers the problem of identification, estimation and inference in the case of spatial panel data models … errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of spatial …

This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random … where the cross sectional and time series dimensions of the panel pass to infinity at the same rate, the uncorrected …

We propose a novel estimator for the dynamic panel model, which solves the failure of strict exogeneity by calculating … for including predetermined variables in fixed-effects panel regressions that appears to perform well. …