In this paper we derive the asymptotic properties of within groups (WG), GMM, and LIML estimators for an autoregressive model with random effects when both T and N tend to infinity. GMM and LIML are consistent and asymptotically equivalent to the WG estimator. When T/N→ 0 the fixed T results...

We discuss a modified objective function strategy to obtain estimators without bias to order 1/T in nonlinear dynamic panel models with multiple effects. Estimation proceeds from a bias corrected objective function relative to some target infeasible criterion. We consider a determinant based...

We develop methods for testing the hypothesis that an econometric model is undeerindentified and inferring the nature of the failed identification. By adopting a generalized-method-of moments perspective, we feature directly the structural relations and we allow for nonlinearity in the...

We study the identification of panel models with linear individual-specific coefficients, when T is fixed. We show identification of the variance of the effects under conditional uncorrelatedness. Identification requires restricted dependence of errors, reflecting a trade-off between...

Many approaches to estimation of panel models are based on an average or integrated likelihood that assigns weights to different values of the individual effects. Fixed effects, random effects, and Bayesian approaches all fall in this category. We provide a characterization of the class of...