the panel. It is shown that the pooled estimator remains consistent so long as δ < 1, and is asymptotically normally … distributed if δ < 1/2, for a fixed T and as N → ∞. It is further shown that when δ < 1/2, the pooled estimator is more efficient …

effects in the panel. It is shown that the pooled estimator remains consistent so long as delta < 1, and is asymptotically … normally distributed if delta < 1/2, for a fixed T and as N -> ∞. It is further shown that when delta < 1/2, the pooled … estimator is more efficient than the fixed effects estimator. Monte Carlo evidence provided supports the main theoretical …