presence of incidental trends in panel unit root test setting is ubiquitous. …

panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between …

This paper proposes a quasi maximum likelihood (QML) estimator for short T dynamic fixed effects panel data models …

that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …-section data 1995) developed an approach that uses the Prais-Winsten estimator together with "panel corrected standard errors … demonstrate its effectiveness using an innovative experimental approach that creates artificial panel datasets modelled after …

of conditional information, and reviews an arbitrage pricing theory for large dimensional factor models in this framework …

has been a workhorse for the analysis of panel data and seemingly unrelated regression equation systems because it allows … Katz (1995) developed an approach that uses the Prais-Winsten estimator together with “panel corrected standard errors … demonstrate its effectiveness using an experimental approach that creates artificial panel datasets modelled after actual panel …

This article introduces a technique to estimate static or dynamic panel data models that feature two dimensions of … intractable to estimate. Asymptotic theory establishes the consistency and asymptotic normality of the proposed estimator as N and …

The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 …