This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel …

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …

. In particular, the System Generalized Method of Moments (GMM-SYS) procedure is applied to a panel dataset comprised of 17 …

This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the … robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian … specifications which includes the dynamic panel model with random effects, with cross-correlated effects à la Chamberlain, for the …

This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be …

panel length, sample size, the degree of persistence of earnings shocks and the evolution of inequality over time. We show …