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
We introduce a new command, xtusreg, that estimates parameters of fixed-effects dynamic panel regression models under unequal time spacing. After reviewing the method, we examine the finite-sample per
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
