We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel …. The estimators differ w.r.t. the choice of instruments and whether they use trimming to reduce the bias or not. In a Monte …

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …

The GMM estimator that is usually employed in the panel data literature, has an unbounded influence function. This … illustration is provided, in which the determinants of a firm's capital structure are investigated using a panel of American firms …

This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and … known to affect conventional GMM estimation when the autoregressive coefficient (rho) is near unity. In both panel and time … composite cross section and time series sample sizes pass to infinity. Simulations reveal that the estimator has little bias …

. -- 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 …

In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their … estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped … broadly into the class of instrumental estimators and the class of direct bias corrected estimators. The simulation results …

In the presence of selection bias, traditional estimators of pseudo panel data are inconsistent. In this paper, the … authors derive the conditions under which consistence is achieved in pseudo-panel estimation and propose a simple test of … selection bias. Specifically, they propose a Wald test for the null hypothesis that there is no selection bias. Under rejection …

In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their … estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped … broadly into the class of instrumental estimators and the class of direct bias corrected estimators. The simulation results …

We build a simple diagnostic criterion for approximate factor structure in large panel datasets. Given observable …