I derive the unconditional transformed likelihood function and its derivatives for a fixed-effects panel data model …

This paper considers estimation methods and inference for linear dynamic panel data models with unit … depth does not. Finally, we estimate a dynamic Mincer equation with data from the Panel Study of Income Dynamics to …

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive …

This paper considers estimation methods and inference for linear dynamic panel data models with unit …

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 extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

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 …