In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section …

Recent developments in nonlinear panel data analysis allow identifying and estimating general dynamic systems. In this …

In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification …

pdynmc is an R-package for GMM estimation of linear dynamic panel data models that are based on linear and nonlinear … statistician. The description of the functionality is based on replicating the results on a publicly available panel data set …. Additionally, we link our implementation to other software and packages for GMM estimation of linear dynamic panel data models. …

In this paper we use the enhanced consumption data in the Panel Survey of Income Dynamics (PSID) from 2005-2017 to … the presence of unobserved heterogeneity. To reliably estimate heterogeneous responses in our un-balanced panel, we …

This paper introduces a new estimator for the fixed effects dynamic panel data model withexogenous variables. This …

This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the … robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian … specifications which includes the dynamic panel model with random effects, with cross-correlated effects à la Chamberlain, for the …