This paper considers estimation of panel data models with fixed effects. First, we will show that a consistent … "unrestricted fixed effects" estimator does not exist for autoregressive panel data models with initial conditions. We will derive … widely used GMM estimators for the conditional AR(1) panel model are inconsistent under trending fixed effects sequences …

This paper studies panel data models with interactive fixed effects where the regressors are allowed to be correlated …

In this paper, we study the spatial dynamic panel data models with high-order time-varying endogenous weights matrices …

unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size … and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by … true localizing parameter is zero (i.e., when there is a panel unit root) and the deterministic trends in the panel are …

The finite sample behaviour is analysed of particular least squares (LS) and method of moments (MM) estimators in panel …

endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM … Poisson for panel data; GMM estimation using quasi-differenced moment conditions eliminating unobserved heterogeneity and …

". However, if these are not valid, misspecified model result. This paper considers consistent estimation of the dynamic panel …

This paper considers inference procedures for two types of dynamic linear panel data models with fixed effects (FE … presents likelihood based unit root tests. Finally, the properties of CML, GMM, and Modified ML estimators for dynamic panel …

The two-step GMM estimators of Arellano and Bond (1991) and Blundell and Bond (1998) for dynamic panel data models have … dynamic panel data model to be stationary. We show that our subset-continuous-updating transformation does not alter the …