We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models … recently been proposed. We consider both the AR(1) panel model, and a design with predetermined regressors. The corrected two …

We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models … have recently been proposed. We consider both the AR(1) panel model, and a design with predetermined regressors. The …

We examine the asymptotic properties of IV, GMM or MLE to estimate dynamic panel data models when either N or T or both …

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …

dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are produced, obtained from a … moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with random individual specific effects. We …

The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel …

linear panel data model, which often forms the basis of testable economic hypotheses. The estimators of such a model are …

This paper explores estimation of a class of non-linear dynamic panel data models with additive unobserved individual …-specific effects. The models are specified by moment restrictions. The class includes the panel data AR(p) model and panel smooth … transition models. We derive an efficient set of moment restrictions for estimation and apply the results to estimation of panel …

) and the linear difference approach to deal with the incidental parameters issue in estimating fixed effects dynamic panel …

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …