This paper revisits the panel autoregressive model, with a primary emphasis on the unit-root case. We study a class of misspecified Random effects Maximum Likelihood (mRML) estimators when T is either fixed or large, and N tends to infinity. We show that in the unit-root case, for any fixed...

This paper proposes a new instrumental variables approach for consistent and asymptotically efficient estimation of panel data models with weakly exogenous or endogenous regressors and residuals generated by a multi-factor error structure. In this case, the standard dynamic panel estimators fail...

This paper considers the issue of GMM estimation of a short dynamic panel data model when the errors are correlated across individuals. We focus particularly on the conditions required in the cross-sectional dimension of the error process for the dynamic panel GMM estimator to remain consistent....

This paper revisits the panel autoregressive model, with a primary emphasis on the unit-root case. We study a class of misspecified Random effects Maximum Likelihood (mRML) estimators when T is either fixed or large, and N tends to infinity. We show that in the unit-root case, for any fixed...