This article provides an overview of the existing literature on panel data models with error cross-sectional dependence (CSD). We distinguish between weak and strong CSD and link these concepts to the spatial and factor structure approaches. We consider estimation under strong and weak...

This paper is concerned with the estimation of a dynamic panel data model with individual fixed effects and a linear trend term with heterogenous coefficients. We expand the available methods for the standard dynamic panel data model to this case, and discuss modified OLS, IV and GMM methods. We...

type="main" xml:id="obes12062-abs-0001" <title type="main">Abstract</title> <p>This article proposes a partially heterogeneous framework for the analysis of panel data with fixed T. In particular, the population of cross-sectional units is grouped into clusters, such that slope parameter homogeneity is maintained only within...</p>

This paper proposes a new instrumental variables approach for consistent and asymptotically efficient estimation of panel data models with weakly exogenous or endogenous regressors and residuals generated by a multi-factor error structure. In this case, the standard dynamic panel estimators fail...