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 …

We apply a heterogenous coefficient spatial autoregressive panel model from Aquaro, Bailey and Pesaran (2015) to … likelihood estimation method set forth by Aquaro, Bailey and Pesaran (2015), we rely on a Markov Chain Monte Carlo (MCMC …) estimation methodology. MCMC estimates as applied here with non-informative priors will produce estimates equal to those from …

Focus is on efficient estimation of a dynamic space-time panel data model that incorporates spatial dependence … of spatial units and T the number of time periods. Quasi-maximum likelihood (QML) estimation in cases involving large N … estimates that require numerous inversions of large matrices. We set forth a Markov Chain Monte Carlo (MCMC) estimation …

We analyse the problem of parameter inconsistency in panel data econometrics due to the correlation of exogenous … variables with the error term. A common solution in this setting is to use Instrumental-Variable (IV) estimation in the spirit …

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …