This paper provides a methodology for efficient estimation of dynamic panel data models under different assumptions concerning initial conditions and variance assumptions. In the analysis of panel data models that may involve lagged dependent variables, concerns about the initial conditions...

This paper develops a new approach to testing for the existence of a linear long-run relationship, when the orders of integration of the underlying regressors are not known with certainty. The test is the standard Wald or F statistic for testing the significance of the lagged levels of the...

This paper presents two generalisations of the existing cointegration analysis literature. Firstly, the problem of efficient estimation of vector error correction models containing I(1) exogenous variables is considered and the asymptotic distributions of the log-likelihood ratio statistics for...

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is...