Recent developments in nonlinear panel data analysis allow identifying and estimating general dynamic systems. In this review we describe some results and techniques for nonparametric identification and flexible estimation in the presence of time-invariant and time-varying latent variables. This...

In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification difficulties for structural parameters and partial effects. Existing solutions are model-specific, likelihood-based, impose time homogeneity, or restrict the distribution of unobserved...

pdynmc is an R-package for GMM estimation of linear dynamic panel data models that are based on linear and nonlinear moment conditions as proposed by Anderson and Hsiao (1982), Holtz-Eakin, Newey, and Rosen (1988), Arellano and Bover (1995), and Ahn and Schmidt (1995). This paper describes the...