We examine the asymptotic properties of IV, GMM or MLE to estimate dynamic panel data models when either N or T or both …

) and the linear difference approach to deal with the incidental parameters issue in estimating fixed effects dynamic panel …

This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly … the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a …