This paper develops new estimation and inference procedures for dynamic panel data models with fixed effects and … known to affect conventional GMM estimation when the autoregressive coefficient (rho) is near unity. In both panel and time … even in very small samples. The approach is applied to panel unit root testing …

This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression … extensive set of new results on the asymptotic behavior of panel IV estimators in weak instrument settings. …

This paper considers estimation and inference concerning the autoregressive coefficient (ρ) in a panel autoregression … set of new results on the asymptotic behavior of panel IV estimators in weak instrument settings …

This paper considers model selection in nonlinear panel data models where incidental parameters or large … structure involving parameters that are common within the panel after concentrating out the incidental parameters. It is well … known that conventional model selection procedures are often inconsistent in panel models and this can be so even without …

Limit theory is developed for the dynamic panel GMM estimator in the presence of an autoregressive root near unity. In … the common autoregressive root ρ = 1 c/√T the panel comprises a collection of mildly integrated time series. In this case … asymptotics to persistence in dynamic panel regressions …