GROOTE, T. DE; EVERAERT, G. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2011
We study estimation of dynamic panel data models with error cross-sectional dependence generated by an unobserved common factor. We show that for a temporally dependent factor, the standard within groups (WG) estimator is inconsistent even as both N and T tend to infinity. Next we investigate...