We consider the method of moments estimation of a structural equation in a panel dynamic simultaneous equations model under different sample size combinations of cross-sectional dimension, N, and time series dimension, T. Two types of linear transformation to remove the individual-specific...

We use a quasi-likelihood function approach to clarify the role of initial values and the relative sample size of the cross-section dimension N and the time series dimension T on the asymptotic properties of estimators for dynamic panel data models with the presence of individual-specific...

We study the identification and estimation of panel dynamic simultaneous equations models. We show that the presence of time-persistent individual-specific effects does not lead to changes in the identification conditions of traditional Cowles Commission dynamic simultaneous equations models....