Conventional OLS fixed-effects and GLS random-effects estimators of dynamic models that control for individual-effects are known to be biased when applied to short panel data (T <= 10). GMM estimators
In this article, I introduce a new command, xtdcce2, that fits a dynamic common-correlated effects model with heterogeneous coefficients in a panel with a large number of observations over cross-secti
We study identification of differentiated product demand from market-level data when product characteristics can be endogenous. Past work suggests nonparametric identification may be impossible: that
