I consider a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a … transformed data and applies standard techniques for estimation of panel vector-autoregressive models. I compare the small …-sample performance of various estimation strategies in a Monte Carlo study. -- spatial PVAR ; multivariate dynamic panel data model …

This paper investigates the finite sample properties of estimators for spatial dynamic panel models in the presence of … suggest that, in order to account for the endogeneity of several covariates, spatial dynamic panel models should be estimated …

measurement errors in an autoregressive panel data model. Finite memory of disturbances, latent regressors and measurement errors … inference using the level version of the equation seems superior to inference based on the equation in differences. -- Panel …

This paper considers estimation methods and inference for linear dynamic panel data models with unit … depth does not. Finally, we estimate a dynamic Mincer equation with data from the Panel Study of Income Dynamics to …

This paper considers estimation methods and inference for linear dynamic panel data models with unit …

approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …

This paper considers a class of GMM estimators for general dynamic panel models, allowing for cross sectional …

GMM estimation of autoregressive panel data equations in error-ridden variables when the noise has memory, is … country panel data supplements the simulation results. …

An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite … signal and noise memory, the strength of autocorrelation, the size of the IV set, and the panel length. Finally, some … practical guidelines are provided. -- Panel data ; Measurement error ; ARMA model ; GMM ; Signal-noise ratio ; Error memory ; IV …