This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian approach departs from the standard Bayesian framework in...

This paper extends the Baltagi et al. (2018, 2021) static and dynamic ε-contamination papers to dynamic space-time models. We investigate the robustness of Bayesian panel data models to possible misspecification of the prior distribution. The proposed robust Bayesian approach departs from the...

The paper presents an empirical study designed to test a small area estimation method. The aim of the study is to apply a robust version of the Fay-Herriot model to the estimation of average wages in the small business sector. Unlike the classical Fay-Herriot model, its robust version makes it...