This paper considers the problem of identification, estimation and inference in the case of spatial panel data models … errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of spatial …

approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …

approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …

approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao … trivial due to the incidental parameters problem that arises, and its implications for estimation and inference. We approach …-sectional heteroskedasticity ; Monte Carlo simulation ; GMM estimation …

This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be … finite sample performance of our GMM estimators. -- dynamic discrete choice ; fixed effects ; panel data ; initial values …

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive …