This paper extends an existing outlier-robust estimator of linear dynamic panel data models with fixed effects, which …

panel data model, do not separately identify the autoregressive parameter when its true value is close to one and the …

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

This paper studies estimation of linear panel regression models with heterogeneous coefficients, when both the …

heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely … used panel heteroskedasticity and autocorrelation consistent (HAC) variance estimator of the pooled estimator under random …

: 1) using the default i.i.d. standard errors in the homoscedastic panel data with the within-cluster error correlations …

be partially or irregularly identified. To illustrate our approach we study panel data models where the distribution of …

The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two … performance of our estimator relative to classic panel estimators using data on earnings and crime. …

This paper proposes a robust method for semiparametric identification and estimation in panel multinomial choice models …

This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the … robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian … specifications which includes the dynamic panel model with random effects, with cross-correlated effects à la Chamberlain, for the …