This paper proposes a new class of estimators for the autoregressive coefficient of a dynamic panel data model with random individual effects and nonstationary initial condition. The new estimators we introduce are weighted averages of the well-known first difference (FD) GMM/IV estimator and...

Chapter 1. Introduction -- Chapter 2. Robust Dynamic Space–time Panel Data Models Using εε-contamination: An Application to Crop Yields and Climate Change -- Chapter 3. Unbiased Estimation of the OLS Covariance Matrix When the Errors are Clustered -- Chapter 4. Refined GMM Estimators for...