We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a …

estimation. Such transformations are said to be information equivalent if they yield the same asymptotic efficiency bound. I …

This paper discusses likelihood-based estimation of linear panel data models with general predetermined variables and … likelihood function allows applying the Bayesian apparatus to this class of panel data models. Combining the aforementioned …

In the panel conditionally homogenous vectorautoregressive model, the cross-sectional units' dynamics are generally … heterogenous, but homogenous if units share the same structural characteristics. The panel conditionally homogenous … vectorautoregressive model thus allows (i) to account for heterogeneity in dynamic panel data sets, (ii) to nevertheless exploit the panel …

We develop a generalized dynamic factor model for panel data with the goal of estimating an unobserved index. While … model also accounts for multiple subjects. It is therefore suitable to a panel data framework. Second, our model estimates a … all subjects was used. Third, we develop a novel iterative estimation process which we call the Two-Cycle Conditional …

-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T …

-sectional driven criteria suffice for consistent estimation of the number of factors, which is different from the traditional panel … the idiosyncratic errors of the panel. A remarkable result emerges. Under suitable regularity conditions the traditional … data results. Finally, we also show that the panel data estimates improve upon the individual volatility estimates …

This paper studies semiparametric identification in linear index discrete response panel data models with fixed effects …. Departing from the classic binary response static panel data model, this paper examines identification in the binary response … dynamic panel data model and the ordered response static panel data model. It is shown that under mild distributional …

which N can grow simultaneously to T for the tests statistics of panel group-mean of time-series estimators to be …