This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …. Repeated sampling experiments on dynamic probit models with serially correlated errors indicate that the estimator has good … important determinants of participation, while race is much less important. -- Initial conditions ; missing data ; simulation …

that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel … together with heteroskedasticity and serial correlation. Unfortunately, the associated, asymptotic standard error estimates are …-section data 1995) developed an approach that uses the Prais-Winsten estimator together with "panel corrected standard errors …

has been a workhorse for the analysis of panel data and seemingly unrelated regression equation systems because it allows … the incorporation of cross-sectional correlation together with heteroskedasticity and serial correlation. Unfortunately … Katz (1995) developed an approach that uses the Prais-Winsten estimator together with “panel corrected standard errors …

In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic …

three representative models: spatial cross-sectional, static or dynamic panel models. Monte Carlo results show that the …

conditions (with or without a unit root), and error characteristics (homoskedasticity or heteroskedasticity of different forms …

The maximum likelihood estimator for the regression coefficients, β, in a panel binary response model with fixed … ensures finiteness of the fixed effects even in the absence of within-unit variation in the outcome. Results from a simulation …

used panel heteroskedasticity and autocorrelation consistent (HAC) variance estimator of the pooled estimator under random …In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope … heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely …

We consider high-dimensional panel data models (large cross sections and long time horizons) with interactive fixed …