This paper discusses likelihood-based estimation of panel data models with individualspecific effects and both lagged dependent variable regressors and additional predetermined explanatory variables. The resulting new estimator, labeled as sub-system LIML (ssLIML), is asymptotically equivalent to standard panel GMM as N →∞ for fixed T , but tends to present smaller biases in finite samples as i...

The paper investigates the role of real exchange rate misalignment on long-run growth for a set of ninety countries using time series data from 1980 to 2004. We first estimate a panel data model (using fixed and random effects) for the real exchange rate, with different model specification, in order to produce estimates of the equilibrium real exchange rate and this is then used to construct ou...

This paper gives a selective review on the recent developments of nonparametric and semiparametric panel data models. We focus on the conventional panel data models with one-way error component structure, partially linear panel data models, varying coe¢ cient panel data models, nonparametric panel data models with multi-factor error structure, and nonseparable nonparametric panel data models. F...

Bu çalışmanın amacı, seçilmiş 20 ülkenin Dünya Bankası ve Genelinde Yönetişim Göstergeleri sitelerinden elde edilen 2000-2018 dönemine ait yıllık verileriyle tarımsal katma değer belirleyicilerinin panel veri analiz yöntemi kullanılarak incelenmesidir. Analizde; sabit etkiler modeli, rassal (tesadüfi) genelleştirilmiş momentler (GMM), sistem GMM robust (dirençli hata) tahmincileri ekonometrik m...

It is shown that e¢ cient GMM (generalized method of moments) estimation of a linear model corresponds to standard IV (instrumental variables) estimation of this model, after transforming it such (as in GLS) that its resulting disturbances have a scalar covariance matrix, while using as instruments the original instruments linearly transformed by the transpose of the inverse of the matrix used ...