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
Alongside instrumental-variables and fixed-effects approaches, the control function approach is the most widely used in production function estimation. Olley and Pakes (1996, Econometrica 64: 1263–129
In this article, we propose methods to construct confidence intervals for the bias of the two-stage least squares estimator, and the size distortion of the associated Wald test in instrumental variabl