in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter … under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental …

heterogeneity and spatial correlation across units. We discuss instrumental variable estimation under both the fixed and the random … autocorrelation in the disturbances. We derive the large sample properties of our estimation procedures and show that the test … small panels. -- spatial econometrics ; panel data ; random effects estimator ; within estimator ; Hausman test …

In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their … estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped …

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

Studies employing Arellano-Bond and Blundell-Bond generalized method of moments (GMM) estimation for linear dynamic … panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between … quality of most asymptotic approximations; therefore, the accurate estimation of this nuisance parameter is investigated. A …

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

Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and … existing panel data time series model considering break studied by Levin et al. (2002), Pesaran (2004), Bai (2010), Liu et al …

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile … regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the … development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting …