, including a generalized method of moments (GMM) and random coefficient (RC) estimation, are employed on panel data covering the … estimation period 1977:1-2003:4 using three measures of volatility. In contrast to recent studies employing panel data, we do not … find a single instance in which volatility has a negative and significant impact on trade …

for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three …

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 …

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 …

rate regimes facilitate current account adjustments. Using a FGLS estimator with fixed effects and panel corrected standard …, the author performs a dynamic panel estimation using a System GMM estimator fully developed in Blundell and Bond (1998 …

The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 … replaced by a data-driven statistical decision. -- Dynamic Panel Data ; Generalised Method of Moments ; Instrument …

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