This paper proposes new GMM estimators for the panel AR(1) model when the ratio of the variance of the individual …

The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two … performance of our estimator relative to classic panel estimators using data on earnings and crime …

The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two …

The present paper studies the panel data auto regressive (PAR) time series model for testing the unit root hypothesis …

Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and … existing panel data time series model considering break studied by Levin et al. (2002), Pesaran (2004), Bai (2010), Liu et al …

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 …

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 …

This paper considers estimation of panel data models with fixed effects. First, we will show that a consistent … "unrestricted fixed effects" estimator does not exist for autoregressive panel data models with initial conditions. We will derive … widely used GMM estimators for the conditional AR(1) panel model are inconsistent under trending fixed effects sequences …

latent heterogeneity for panel probit models. Within a Bayesian framework an estimation algorithm dealing with the inherent …

provinces simultaneously. Beside the usual panel data models, we use panel models that explicitly account for spatial dependence …-year horizon). -- Chinese provinces ; forecasting ; dynamic panel model ; spatial autocorrelation ; group-specific spatial …