endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM … Poisson for panel data; GMM estimation using quasi-differenced moment conditions eliminating unobserved heterogeneity and …

This paper develops a nonlinear spatial dynamic panel data model, with one particularly interesting application to a … fixed effects and heteroskedastic errors. We further consider the potential time-varying endogeneity in spatial weights when … panel data setting, we cover both $n,T\rightarrow\infty$ and large $n$ with finite $T$, and the strength of the dominant …

This paper is concerned with developing a nonparametric time-varying coefficient model with fixed effects to … characterize nonstationarity and trending phenomenon in nonlinear panel data analysis. We develop two methods to estimate the trend … is motivated by a least squares dummy variable method proposed in parametric panel data analysis. This method removes the …

A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis … likelihood approach based on the first-stage local linear fitting is developed to estimate both the parameter vector and the time … trend function. As both the time series length T and the cross-sectional size N tend to infinity simultaneously, the …

and implement suitable bias corrections. Extensive simulation experiments confirm the desirable statistical properties of … the bias-corrected estimators. Empirically, taking two sources of persistence - true state dependence and unobserved … heterogeneity - into account using a dynamic specification, along with appropriate fixed effects and bias corrections, changes the …

This paper analyzes the second order bias of instrumental variables estimators for a dynamic panel model with fixed … effects. Three different methods of second order bias correction are considered. Simulation experiments show that these … is approximately achieving the minimal bias in a certain class of instrumental variables (IV) estimators. Simulation …

The estimation of linear, static regression equations from panel data with measurement errors in the regressors is … delimiting the valid IV's are redundant. Illustrations based on data on inputs and outputs from an eight year panel of …

. -- Panel regression ; multiplicative measurement errors ; bias correction ; asymptotic variance ; disclosure control …The paper explores the effect of measurement errors on the estimation of a linear panel data model. The conventional … fixed effects estimator, which ignores measurement errors, is biased. By correcting for the bias one can construct …

In the presence of selection bias, traditional estimators of pseudo panel data are inconsistent. In this paper, the … authors derive the conditions under which consistence is achieved in pseudo-panel estimation and propose a simple test of … selection bias. Specifically, they propose a Wald test for the null hypothesis that there is no selection bias. Under rejection …

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 … broadly into the class of instrumental estimators and the class of direct bias corrected estimators. The simulation results …