This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are crosssectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are cross-sectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...

This paper proposes a quasi maximum likelihood (QML) estimator for short T dynamic fixed effects panel data models allowing for interactive effects through a multi-factor error structure. The proposed estimator is robust to the heterogeneity of the initial values and common unobserved effects,...

In this paper, we study the finite sample behavior of over-identifying restriction test, J test, in GMM. We consider two variants of J test, one with centered weighting matrix and the other is with uncentered weighting matrix. We demonstrate that the finite sample distribution of J test with...