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

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 revisits the panel autoregressive model, with a primary emphasis on the unit-root case. We study a class of …