This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.

Showcasing fresh methodological and empirical research on the econometrics of networks, and comprising both theoretical, empirical and policy papers, the authors in this volume bring together a wide range of perspectives to facilitate a dialogue between academics and practitioners for better...

Intro -- Title Page -- Copyright Page -- Contents -- Introduction -- References -- Chapter 1: Correction for the Asymptotical Bias of the Arellano-Bond type GMM Estimation of Dynamic Panel Models -- 1. Introduction -- 2. Model and the Arellano-Bond GMM Estimation -- 2.1. The Arellano-Bond GMM...

Structural models of demand founded on the classic work of Berry, Levinsohn, and Pakes (1995) link variation in aggregate market shares for a product to the influence of product attributes on heterogeneous consumer tastes. We consider implementing these models in settings with complicated...

Volume 40B of Advances in Econometricsexamines innovations in stochastic frontier analysis, nonparametric and semiparametric modeling and estimation, A/B experiments, big-data analysis, and quantile regression.

In honor of Dale J. Poirier, experienced editors Ivan Jeliazkov and Justin Tobias bring together a cast of expert contributors to explore the most up-to-date research on econometrics, including subjects such as panel data models, posterior simulation, and Bayesian models.