This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive …

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive …

panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a …

In this paper, we propose a consistent nonparametric test for linearity in a large dimensional panel data model with … our test performs well in finite samples. An application to an economic growth panel dataset indicates significant …

In a recent study, Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 2013a …) proposes a new factor analytic (FA) method to the estimation of dynamic panel data models, which has the unique and very useful …

framework of nonparametric panel data models with interactive fixed effects. Our approach has two prominent features: one is the …

In this paper, we propose a consistent nonparametric test for linearity in a large dimensional panel data model with … our test performs well in finite samples. An application to an economic growth panel dataset indicates significant …

In this paper we derive an asymptotic theory for linear panel regression augmented with estimated common factors. We …

This paper studies a simple dynamic linear panel regression model with interactive fixed effects in which the variable …

With the increased availability of longitudinal data, dynamic panel data models have become commonplace. Moreover, the … included in the model. In this paper, we propose several new estimators for dynamic panel data models when data are irregularly …