autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM … Wald-test is correctly sized even in small samples and exhibits the same power as their MLE-based counterparts. Since GMM … estimates are much easier to calculate, the GMM Wald-test is recommended for applied researches. …

In absence of randomized controlled experiments, identification is often aimed via instrumental variable (IV … design credible identification strategies, aforemost finding candidates for valid instruments. We discuss prominent IV …

inference. We investigate the identifiability of the model parameters based on data representing a large cross-section of … inferential problems that persist even in large samples. In the presence of partially identification problems, we show that an … likelihood framework using the 2013 SCF data for the U.S. confirms the results from our identification experiments. …

trivial due to the incidental parameters problem that arises, and its implications for estimation and inference. We approach … that are robust to cross-sectional heteroskedasticity of unknown form. By means of Monte Carlo simulation, we investigate … proposed in the literature. Simulation results reveal that, in terms of median absolute errors and accuracy of inference, the …

This paper proposes a modified version of Swamy's test of slope homogeneity for panel data models where the cross … section dimension (N) could be large relative to the time series dimension (T). The proposed test exploits the cross section …