This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression … extensive set of new results on the asymptotic behavior of panel IV estimators in weak instrument settings. …

Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel … data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a … common time period for all units. However, this approach can be costly in terms of lost information. Instead, existing panel …

convergence rate of the QML estimators has not been formally studied, and methods for correcting finite sample bias of the QML … estimators have not been given. This paper fills in these gaps. Of the two, bias correction is particularly important to the … those for the SLD model in terms of the rate of convergence and the magnitude of bias. Monte Carlo results show that the …

This paper studies an alternative bias correction for the M-estimator, which is obtained by correcting the moment … equations in the spirit of Firth (1993). In particular, this paper compares the stochastic expansions of the analytically-bias …-step bias correction by using the bias correction of moment equations. This finding suggests that the comparison between the one …