This paper considers estimation of panel data models with fixed effects. First, we will show that a consistent … "unrestricted fixed effects" estimator does not exist for autoregressive panel data models with initial conditions. We will derive … widely used GMM estimators for the conditional AR(1) panel model are inconsistent under trending fixed effects sequences …

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

. -- Panel regression ; multiplicative measurement errors ; bias correction ; asymptotic variance ; disclosure control …The paper explores the effect of measurement errors on the estimation of a linear panel data model. The conventional … fixed effects estimator, which ignores measurement errors, is biased. By correcting for the bias one can construct …

The paper explores the effect of measurement errors on the estimation of a linear panel data model. The conventional … fixed effects estimator, which ignores measurement errors, is biased. By correcting for the bias one can construct …

This paper studies a simple dynamic panel linear regression model with interactive fixed effects in which the variable … (LS-MD) estimation method. -- dynamic panel ; interactive fixed effects ; measurement error ; LS-MD estimation …

-effect models for panel data. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading … bias in the empirical distribution arising from the presence of noise. The leading bias in the empirical quantile function … mean and variance have been derived. Given a closed-form expression for the bias, bias-corrected estimator of the …

-effect models for panel data. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading … bias in the empirical distribution arising from the presence of noise. The leading bias in the empirical quantile function … for selection bias and shrinkage estimation and is to be contrasted with deconvolution. Simulation results confirm the …