This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the … robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian … specifications which includes the dynamic panel model with random effects, with cross-correlated effects à la Chamberlain, for the …

The properties of classical panel data estimators including fixed effect, first-differences, random effects, and … generalized method of moments-instrumental variables estimators in both static as well as dynamic panel data models are …

This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel …

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

Measurement error causes a downward bias when estimating a panel data linear regression model. The panel data context …

This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random … where the cross sectional and time series dimensions of the panel pass to infinity at the same rate, the uncorrected …

We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross‐section of short …

models that includes our household model. We cover fixed-T panel models where the response variable is an unknown monotonic …