An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite … signal and noise memory, the strength of autocorrelation, the size of the IV set, and the panel length. Finally, some … practical guidelines are provided. -- Panel data ; Measurement error ; ARMA model ; GMM ; Signal-noise ratio ; Error memory ; IV …

We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed …

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 studies panel data models with interactive fixed effects where the regressors are allowed to be correlated …

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 …

panel data with fixed effects. The estimation procedure is based on the observational equivalence between distribution free …

This paper develops an innovative way of estimating a functional-coefficient spatial autoregressive panel data model …

specification of a spatial dynamic panel data probit (SDPDprobit) model, which allows to deal with cross-sectional dependence, time … dependence and individual (spatial) or time fixed effects in a nonlinear setting. The first ML-based estimator is a panel version …