An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators are explored by Monte Carlo (MC) simulations. Two kinds...

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data models with lagged dependent variable and/or weakly exogenous regressors. We show that the CCE mean group estimator continues to be valid but the following two conditions must...

An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators are explored by Monte Carlo (MC) simulations. Two kinds...

We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic heterogeneity which is suitable for inference in short panels, unlike alternative estimators. Monte Carlo simulations indicate that our estimator produces less bias, and a lower...

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...