I consider a panel vector autoregressive (panel VAR) model with cross sectional dependence of the model disturbances that can be characterized by a first order spatial autoregressive process. I derive asymptotic properties of a constrained maximum likelihood estimator that uses a consistent...

For short and fat panels the Mundlak model can be viewed as an approximation of a general dynamic autoregressive distributed lag model. We give an exact interpretation of short run and long effects and provide simulations to assess the quality of the approximation of the long run and short run...