panel data models where the observables are affected by common shocks, modelled through unobservable factors, are studied … the panel TSLS and LIML estimators, as the cross section dimension tends to infinity, is the lack of correlation between … shocks. If this condition fails, both estimators have degenerate distributions. When the panel TSLS and LIML estimators are …

estimate the structural parameters of econometric models for panel data, with a remarkable reduction of bias with respect to …

panel data when the cross section observations are independent. Consistency applies when there are no deterministic trends … or when there is a homogeneous deterministic trend in the panel model. When there are heterogeneous deterministic trends … the panel MLE of the local to unity parameter is inconsistent. This outcome provides a new instance of inconsistent ML …

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 …

Computational aspects concerning a model for clustered binary panel data are analysed. The model is based on the … representation of the behavior of a subject (individual panel member) in a given cluster by means of a latent process that is …

In this paper we consider inference procedures for two types of dynamic linear panel data models with fixed effects …. First, we show that the closure of the stationary ARMA panel model with fixed effects can be consistently estimated by the … conditional AR(1) panel model with fixed effects under various asymptotic plans. Then we show that when N tends to infinity but T …

We analyse the finite sample properties of maximum likelihood estimators for dynamic panel data models. In particular …