This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be … finite sample performance of our GMM estimators. -- dynamic discrete choice ; fixed effects ; panel data ; initial values …

performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case …, panel unit root tests derived under time invariant innovation variances lose control over actual significance levels while … hypothesis. -- Panel unit root tests ; variance breaks ; cross sectional dependence ; Fisher hypothesis …

Panel survey data have been gaining importance in marketing. However, one challenge of estimating econometric models … based on panel survey data is how to account for under reporting, that is, respondents do not report behavioral incidences … which actually occur. Under reporting is especially likely to occur in a panel survey because the data recording mechanism …

error components of panel data models that contain random effects. This general specification encompasses several more … specific space-time structures that have been used recently in the panel data literature. Markov Chain Monte Carlo methods are …

until a recent past. This paper proposes a modelling strategy aimed at a best use of the data for nowcasting based on panel … clustering approach into the usual panel data model specification. A case study in the field of R&D variables illustrates the …

This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and … known to affect conventional GMM estimation when the autoregressive coefficient (rho) is near unity. In both panel and time … even in very small samples. The approach is applied to panel unit root testing …

In this paper we use spatial dependence panel data models to analyse regional growth behaviour in Italy. Controlling …

spatially correlated errors in static panel data models, is extended by introducing fixed effects, a spatial lag, and a one …-period lag of the dependent variable as additional explanatory variables. Combining this approach with the dynamic panel-data GMM …, spatial lags, and sets of exogenous variables yields new spatial dynamic panel data estimators. The proposed spatially …

In this paper, I consider the estimation of dynamic binary choice panel data models with fixed effects. I use a …, the estimator is found to have a small bias in a panel with eight periods. A distinctive advantage of the MMLE is its …