This paper considers estimating a panel data simultaneous equations model under both coefficient and covariance matrix restrictions in a scenario where one or the other set of identifying restrictions may be invalid or may hold only weakly. We study the limiting properties of various estimators in an asymptotic framework, which takes both the cross-sectional dimension N and the time dimension T...

Analyzing a novel dataset we find significantly positive effects of basic, and applied and experimental knowledge stocks on domestic output and productivity for a panel of 10 OECD countries. This letter updates the work of, among others, Mansfield (1980), Griliches (1986) and Adams (1990), at an international setting. JEL Classification: F12: F2: O3.

Properties of GMM estimators for panel data, which have become very popular in the empirical economic growth literature, are not well known when the number of individuals is small. This paper analyses through Monte Carlo simulations the properties of various GMM and other estimators when the number of individuals is the one typically available in country growth studies. It is found that, provid...

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of the transformed likelihood approach, whilst at the same time allows for observed factors (fixed or ran...

This work is motivated by the problem of estimation and classification of different electroencephalography (EEG) patterns elicited during various information processing tasks. Since the discovery of Hans Berger in 1929, interest in developing algorithms to process human brain and mind information by analyzing the EEG and ERP signals has been constantly growing. Both the EEG and ERP signals have...

We describe different procedures to deal with measurement error in linear models, and assess their performance in finite samples using Monte Carlo simulations, and data on corporate investment. We consider the standard instrumental variables approach proposed by Griliches and Hausman (1986) as extended by Biorn (2000) [OLS-IV], the Arellano and Bond (1991) instrumental variable estimator, and t...

A dominant firm holding import quota engages in inter-temporal price discrimination when facing a competitive fringe engaged in seasonal production. This causes a welfare loss that comes in addition the loss attributable to limitation of imports below the free trade level. JEL classification: F12, F13

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of Þrm size and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by constructing bias corrections to the ...

Dynamic partial adjustment models of residential electricity demand account for the fact that households may not adjust electricity consumption immediately in response to changes in prices, income, and other relevant factors, because of behavioral habits or adjustment costs for the capital stock of appliances. However, forward-looking behavior is generally neglected. Expectations about future p...

This paper establishes the almost sure convergence and asymptotic normality of levels and differenced quasi maximum-likelihood (QML) estimators of dynamic panel data models. The QML estimators are robust with respect to initial conditions, conditional and time-series heteroskedasticity, and misspecification of the log-likelihood. The paper also provides an ECME algorithm for calculating levels ...