In this paper we consider inference procedures for two types of dynamic linear panel data models with fixed effects …. First, we show that the closure of the stationary ARMA panel model with fixed effects can be consistently estimated by the … conditional AR(1) panel model with fixed effects under various asymptotic plans. Then we show that when N tends to infinity but T …

algorithm are developped. We apply this framework to a large panel of US monthly macroeconomic series. In particular, we …

algorithm are developed. We apply this framework to a large panel of US monthly macroeconomic series. In particular, we identify …