We analyze the finite sample properties of maximum likelihood estimators for dynamic panel data models. In particular, we consider Transformed Maximum Likelihood (TML) and Random effects Maximum Likelihood (RML) estimation. We show that TML and RML estimators are solutions to a cubic first-order...

This paper analyzes a growing group of fixed T dynamic panel data estimators with a multi-factor error structure. We use a unified notational approach to describe these estimators and discuss their properties in terms of deviations from an underlying set of basic assumptions. Furthermore, we...

This paper considers the Panel Vector Autoregressive Models of order 1 (PVAR(1)) with possibly spatially dependent error terms. We prove that the cointegration testing procedure of Binder, Hsiao, and Pesaran (2005) is not valid due to the singularity of the corresponding Hessian matrices under...

This paper considers estimation of Panel Vectors Autoregressive Models of order 1 (PVAR(1)) with possible cross-sectional heteroscedasticity in the error terms. We focus on fixed T consistent estimation methods in First differences (FD) with or without additional strictly exogenous regressors....