Fixed effects estimators of nonlinear panel data models can be severely biased because of the incidental parameter … expansions to conditional maximum likelihood estimators with concave objective functions in parameters for panel models with …

In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification …

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. …

We study a nonlinear two-way fixed effects panel model that allows for unobserved individual heterogeneity in slopes …

This paper considers a class of fixed-T nonlinear panel models with time-varying link function, fixed effects, and …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic …

In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their …

models in a panel data context with partially unobserved targets and endogenous, time-varying persistence. In this setup, the …