Equilibrium real exchange rate and corresponding misalignment estimates differ tremendously depending on the panel … cross-section (space) variation in the panel. The study shows that conventional panel estimation methods (pooled OLS, fixed … literature to show that the distortion is generally very large. This suggests the use of the CRE model for the panel estimation …

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 …

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 …

Poisson (FEP) estimator for panel data models with multiplicative heterogeneity in the conditional mean. In particular, we …

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 …

estimating linear dynamic panel data models and derive the large sample properties of the estimator. We assume that the only …

We study the estimation of the lag parameter of linear dynamic panel data models with first order dynamics based on the …

I derive the unconditional transformed likelihood function and its derivatives for a fixed-effects panel data model …

This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel …