This paper establishes the almost sure convergence and asymptotic normality of quasi maximum-likelihood (QML) estimators of a dynamic panel data model when the time series for each cross section is short. The QML estimators are robust with respect to initial conditions and misspecification of...

Calculation of the inverse of the error variance-covariance matrix is required for both feasible generalized least squares and maximum-likelihood estimation of the regression parameters in the two-way error-components model. Since in many applications this matrix can be quite large, efficient...