problems even the generalized least squares estimator for the dynamic panel data models allowing cross sectional … heteroscedasticity becomes biased and inconsistent. In this study, the analytical expressions for the inconsistency have been derived in …

Panel data models with cross-sectionally heteroskedastic data often suffer from the well-known incidental parameters … Pesaran (2015, Journal of Econometrics) can consistently estimate the structural parameters in the panel data models with … unknown common factors or dynamic panel models with fixed individual entity-specific effects …

This paper introduces a panel GMM framework for identifying and estimating demand elasticities via heteroscedasticity …. While existing panel estimators address the simultaneity problem, the state-ofthe-art Feenstra/Soderbery (F/S) estimator …

reductions, even under mild heteroskedasticity. Feasible MGMM implementations and their standard er-ror estimates are examined …

reductions, even under mild heteroskedasticity. Feasible MGMM implementations and their standard error estimates are examined and …

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …-sectional heteroskedasticity. By simulation the effects are examined of using particular instrument strength enhancing reductions and … found to have great potential when the cross-sectional heteroskedasticity is pronounced and the time-series dimension of the …

panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between … weighting matrix in relation to the type of heteroskedasticity; (iii) using (robustified) 1-step or (corrected) 2-step variance … modification of GMM is found to have some potential when the cross-sectional heteroskedasticity is pronounced and the time …

used panel heteroskedasticity and autocorrelation consistent (HAC) variance estimator of the pooled estimator under random …In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope … heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely …

Measurement error causes a downward bias when estimating a panel data linear regression model. The panel data context …) heteroskedasticity and nonlinearity in the relation between the error-ridden covariate and another, error-free, covariate in the equation …

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data …