misspecificity involved in compressed regression models. Methodologically, a multicountry large structural Panel Vector …

. -- dynamic panel data model with fixed effect ; incidental parameter problem ; consistency in estimation ; model selection …In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent … parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation …

This paper introduces bias-corrected estimators for nonlinear panel data models with both time invariant and time …