". However, if these are not valid, misspecified model result. This paper considers consistent estimation of the dynamic panel …

problems even the generalized least squares estimator for the dynamic panel data models allowing cross sectional … the first order autoregressive case. A comparison between asymptotic bias and small sample simulated bias has also been …

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 …

In this paper, we study the spatial dynamic panel data models with high-order time-varying endogenous weights matrices …

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

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

For a panel data regression equation with two-way unobserved heterogeneity, individual-specific and period …

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 …