panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and … show that (1) the OLS estimator has a non-negligible bias in finitte samples, (2) the FMOLS estimator does not improve over …

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a …

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in … parameters in the canonical linear fixed effects model and over coefficients on a fixed vector of endogenous variables in panel …