This paper studies the asymptotic efficiency in factor models with serially correlated errors and dynamic panel data models with interactive effects. We derive the efficiency bound for the estimation of factors, factor loadings and common parameters that describe the dynamic structure. We use...

This paper proposes asymptotically unbiased estimators of autocovariances and autocorrelations for panel data with both individual and time effects. We show that the conventional autocovariance estimators suffers from the bias caused by the elimination of individual and time effects. The bias...

This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test proposed is a modified version of the Sargan (1958, Econometrica 26(3): 393-415) test of overidentifying restrictions. The test statistic asymptotically follows the...

This paper proposes nonparametric kernel-smoothing estimation for panel data to examine the degree of heterogeneity across cross-sectional units. We first estimate the sample mean, autocovariances, and autocorrelations for each unit and then apply kernel smoothing to compute their density...