panel data model with unobserved random individual-specific and time-varying effects. We propose an estimation procedure …An exact maximum likelihood method is developed for the estimation of parameters in a nonlinear non-Gaussian dynamic … the cross-section and the time series dimensions. The estimation method facilitates the flexible modeling of large panels …

This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …