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 extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as …. These findings suggest that our methodology is well suited for inference in short dynamic panel data models with endogenous …

This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as …. These findings suggest that our methodology is well suited for inference in short dynamic panel data models with endogenous …

we extend the BMA framework to panel data models where the lagged dependent variable as well as endogenous variables … our methodology is well suited for inference in dynamic panel data models with short time periods in the presence of …

We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic … by estimating a panel VAR on sector level data for labour productivity and hours worked growth for Canada, Germany …

We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data …