This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data …

In nonlinear panel models with fixed effects and fixed-T, the incidental parameter problem poses identification …

pdynmc is an R-package for GMM estimation of linear dynamic panel data models that are based on linear and nonlinear … statistician. The description of the functionality is based on replicating the results on a publicly available panel data set …. Additionally, we link our implementation to other software and packages for GMM estimation of linear dynamic panel data models. …

This paper introduces a new estimator for the fixed effects dynamic panel data model withexogenous variables. This …

We study a nonlinear two-way fixed effects panel model that allows for unobserved individual heterogeneity in slopes …

result automatically extends the results in Ai and Norton (2008) from cross sectional setting to panel data models. In order …

Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental … expansions to M-estimators with concave objective functions in parameters for panel models with additive individual and time …

Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental … expansions to conditional maximum likelihood estimators with concave objective functions in parameters for panel models with …

Fixed effects estimators of nonlinear panel data models can be severely biased because of the incidental parameter … expansions to conditional maximum likelihood estimators with concave objective functions in parameters for panel models with …

This paper considers a class of fixed-T nonlinear panel models with time-varying link function, fixed effects, and …