This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

I consider a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a … transformed data and applies standard techniques for estimation of panel vector-autoregressive models. I compare the small …-sample performance of various estimation strategies in a Monte Carlo study. -- spatial PVAR ; multivariate dynamic panel data model …

We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in … Student-t residuals shows that it is computationally easy to include the COVID-19 observations in Bayesian panel VARs, thus …