The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown in a Monte Carlo study to extend to the panel data system GMM estimator …

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators …

A new over-identifying restriction test in the generalized method of moments (GMM) estimation of panel data models is … chi-square distribution with one degree of freedom. A detailed local power analysis is provided for dynamic panel data …

This paper proposes a method for estimating a censored panel data model with a lagged latent dependent variable and …

We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models … recently been proposed. We consider both the AR(1) panel model, and a design with predetermined regressors. The corrected two …

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 studies panel data models with interactive fixed effects where the regressors are allowed to be correlated …