This paper proposes a minimum distance (MD) estimator to estimate panel regression models with measurement error. The model considered is more general than examined in the literature in that (i) measurement error can be non-classical in the sense that they are allowed to be correlated with the...

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of...

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 unit root test for short panels with serially correlated errors. The proposed test is based on the instrumental variables (IV) and the generalized method of moments (GMM) estimators. An advantage of the new test over other tests is that it allows for an ARMA type serial...

In this paper, we propose GMM estimators for short dynamic panel data models with interactive fixed effects. Moment conditions are obtained for the model where the projection method is applied to remove the correlation between regressors and interactive fixed effects. Monte Carlo simulation...

In this paper, we show that the order of magnitude of the finite sample bias of the GMMld^{(2)} estimator of Bun and Kiviet (2006) can be reduce from O(T/N) to O(1/N) if the optimal weighting matrix is used. To demonstrate this result, we consider a model transformed by the upper triangular...

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...

In this paper, we derive the asymptotic properties of the system GMM estimator in dynamic panel data models with individual and time effects when both N and T, the dimensions of cross section and time series, are large. We first show that the two-step level GMM estimator with an optimal...