Estimation of Random-Coefficient Dynamic Panel Data Models with a Fixed T
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Philippe Aghion & Nick Bloom & Richard Blundell & Rachel Griffith & Peter Howitt, 2005.
"Competition and Innovation: an Inverted-U Relationship,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 120(2), pages 701-728.
- Philippe Aghion & Nicholas Bloom & Richard Blundell & Rachel Griffith & Peter Howitt, 2002. "Competition and Innovation: An Inverted U Relationship," NBER Working Papers 9269, National Bureau of Economic Research, Inc.
- Philippe Aghion & Nicolas Bloom & Richard Blundell & Rachel Griffith & Peter Howitt, 2002. "Competition and innovation: an inverted U relationship," IFS Working Papers W02/04, Institute for Fiscal Studies.
- Howitt, Peter & Griffith, Rachel & Aghion, Philippe & Blundell, Richard & Bloom, Nick, 2005. "Competition and Innovation: An Inverted-U Relationship," Scholarly Articles 4481507, Harvard University Department of Economics.
- Li, Ming, 2026. "Identification and estimation in a time-varying endogenous random coefficient panel data model," Journal of Econometrics, Elsevier, vol. 256(PA).
- Chamberlain, Gary, 2022.
"Feedback in panel data models,"
Journal of Econometrics, Elsevier, vol. 226(1), pages 4-20.
- Chamberlain, G., 1993. "Feedback in Panel Data Medels," Harvard Institute of Economic Research Working Papers 1656, Harvard - Institute of Economic Research.
- Hoderlein, Stefan & Klemelä, Jussi & Mammen, Enno, 2010. "Analyzing The Random Coefficient Model Nonparametrically," Econometric Theory, Cambridge University Press, vol. 26(3), pages 804-837, June.
- Manuel Arellano & Stéphane Bonhomme, 2012.
"Identifying Distributional Characteristics in Random Coefficients Panel Data Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 79(3), pages 987-1020.
- Manuel Arellano & Stéphane Bonhomme, 2009. "Identifying Distributional Characteristics in Random Coefficients Panel Data Models," Working Papers wp2009_0904, CEMFI.
- Manuel Arellano & Stéphane Bonhomme, 2009. "Identifying distributional characteristics in random coefficients panel data models," CeMMAP working papers CWP22/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Arellano, Manuel & Bover, Olympia, 1995.
"Another look at the instrumental variable estimation of error-components models,"
Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
- M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
- Moon, Hyungsik Roger & Weidner, Martin, 2017.
"Dynamic Linear Panel Regression Models With Interactive Fixed Effects,"
Econometric Theory, Cambridge University Press, vol. 33(1), pages 158-195, February.
- Hyungsik Roger Roger Moon & Martin Weidner, 2013. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers 63/13, Institute for Fiscal Studies.
- Hyungsik Roger Moon & Martin Weidner, 2026. "Dynamic Linear Panel Regression Models with Interactive Fixed Effects," Papers 2605.00612, arXiv.org.
- Hyungsik Roger Roger Moon & Martin Weidner, 2014. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers 47/14, Institute for Fiscal Studies.
- Hyungsik Roger Moon & Martin Weidner, 2014. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers CWP47/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hyungsik Roger Moon & Martin Weidner, 2013. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers CWP63/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Nickell, Stephen J, 1996.
"Competition and Corporate Performance,"
Journal of Political Economy, University of Chicago Press, vol. 104(4), pages 724-746, August.
- Nickell, S.J., 1993. "Competition and Crporate Performance," Economics Series Working Papers 99155, University of Oxford, Department of Economics.
- Stephen Nickell, 1993. "Competition and Corporate Performance," CEP Discussion Papers dp0182, Centre for Economic Performance, LSE.
- Matthew A. Masten & Alexander Torgovitsky, 2016. "Identification of Instrumental Variable Correlated Random Coefficients Models," The Review of Economics and Statistics, MIT Press, vol. 98(5), pages 1001-1005, December.
- Kasy, Maximilian, 2011. "Identification In Triangular Systems Using Control Functions," Econometric Theory, Cambridge University Press, vol. 27(3), pages 663-671, June.
- Stephen Bond & Costas Meghir, 1994.
"Dynamic Investment Models and the Firm's Financial Policy,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(2), pages 197-222.
- Stephen Bond & Costas Meghir, 1990. "Dynamic Investment Models and the Firm's Financial Policy," CEPR Financial Market Papers 0013, Centre for Economic Policy Research.
- Ivan Fernandez-Val & Wayne Yuan Gao & Yuan Liao & Francis Vella, 2022.
"Dynamic Heterogeneous Distribution Regression Panel Models, with an Application to Labor Income Processes,"
Papers
2202.04154, arXiv.org, revised Jul 2026.
- Fernández-Val, Iván & Gao, Wayne Yuan & Liao, Yuan & Vella, Francis, 2022. "Dynamic Heterogeneous Distribution Regression Panel Models, with an Application to Labor Income Processes," IZA Discussion Papers 15236, IZA Network @ LISER.
- Matthew A Masten, 2018.
"Random Coefficients on Endogenous Variables in Simultaneous Equations Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(2), pages 1193-1250.
- Matthew Masten, 2014. "Random coefficients on endogenous variables in simultaneous equations models," CeMMAP working papers 01/14, Institute for Fiscal Studies.
- Matthew Masten, 2015. "Random coefficients on endogenous variables in simultaneous equations models," CeMMAP working papers 25/15, Institute for Fiscal Studies.
- Matthew Masten, 2014. "Random coefficients on endogenous variables in simultaneous equations models," CeMMAP working papers CWP01/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Matthew Masten, 2015. "Random coefficients on endogenous variables in simultaneous equations models," CeMMAP working papers CWP25/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Bissantz, Nicolai & Holzmann, Hajo & Proksch, Katharina, 2014. "Confidence regions for images observed under the Radon transform," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 86-107.
- Jeffrey M. Wooldridge, 2005. "Fixed-Effects and Related Estimators for Correlated Random-Coefficient and Treatment-Effect Panel Data Models," The Review of Economics and Statistics, MIT Press, vol. 87(2), pages 385-390, May.
- Wooyong Lee, 2025. "Identification and estimation of dynamic random coefficient models," Papers 2505.01600, arXiv.org, revised Apr 2026.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2020.
"Forecasting With Dynamic Panel Data Models,"
Econometrica, Econometric Society, vol. 88(1), pages 171-201, January.
- Laura Liu & Hyungsik Moon & Frank Schorfheide, 2016. "Forecasting with Dynamic Panel Data Models," PIER Working Paper Archive 16-022, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 21 Dec 2016.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2017. "Forecasting with Dynamic Panel Data Models," Papers 1709.10193, arXiv.org.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2018. "Forecasting with Dynamic Panel Data Models," NBER Working Papers 25102, National Bureau of Economic Research, Inc.
- Lu, Xun & Su, Liangjun, 2023. "Uniform inference in linear panel data models with two-dimensional heterogeneity," Journal of Econometrics, Elsevier, vol. 235(2), pages 694-719.
- Manuel Arellano & Stephen Bond, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
- Tom Doan, 2025. "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- Ming Li, 2021. "Identification and Estimation in a Time-Varying Endogenous Random Coefficient Panel Data Model," Papers 2110.00982, arXiv.org, revised Feb 2026.
- Richard Blundell & Rachel Griffith & John van Reenen, 1999. "Market Share, Market Value and Innovation in a Panel of British Manufacturing Firms," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 66(3), pages 529-554.
- Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988.
"Estimating Vector Autoregressions with Panel Data,"
Econometrica, Econometric Society, vol. 56(6), pages 1371-1395, November.
- Tom Doan, 2025. "RATS program to demonstrate IV estimation of VAR in panel data," Statistical Software Components RTZ00185, Boston College Department of Economics.
- Yiqiu Cao & Sainan Jin & Xun Lu & Liangjun Su, 2024. "Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(4), pages 1169-1184, October.
- Blundell, Richard & Bond, Stephen, 1998.
"Initial conditions and moment restrictions in dynamic panel data models,"
Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
- R Blundell & Steven Bond, "undated". "Initial conditions and moment restrictions in dynamic panel data model," Economics Papers W14&104., Economics Group, Nuffield College, University of Oxford.
- Blundell, R. & Bond, S., 1995. "Initial Conditions and Moment Restrictions in Dynamic Panel Data Models," Economics Papers 104, Economics Group, Nuffield College, University of Oxford.
- Richard Blundell & Stephen Bond, 1995. "Initial conditions and moment restrictions in dynamic panel data models," IFS Working Papers W95/17, Institute for Fiscal Studies.
- Murtazashvili, Irina & Wooldridge, Jeffrey M., 2008. "Fixed effects instrumental variables estimation in correlated random coefficient panel data models," Journal of Econometrics, Elsevier, vol. 142(1), pages 539-552, January.
- Hoderlein, Stefan & Holzmann, Hajo & Meister, Alexander, 2017.
"The triangular model with random coefficients,"
Journal of Econometrics, Elsevier, vol. 201(1), pages 144-169.
- Stefan Hoderlein & Hajo Holzmann & Alexander Meister, 2015. "The triangular model with random coefficients," CeMMAP working papers CWP33/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Stefan Hoderlein & Hajo Holzmann & Alexander Meister, 2015. "The Triangular Model with Random Coefficients," Boston College Working Papers in Economics 894, Boston College Department of Economics, revised 01 Feb 2016.
- Stefan Hoderlein & Hajo Holzmann & Alexander Meister, 2015. "The triangular model with random coefficients," CeMMAP working papers 33/15, Institute for Fiscal Studies.
- Richard Blundell & Stephen Bond, 2000.
"GMM Estimation with persistent panel data: an application to production functions,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 321-340.
- Richard Blundell & Stephen Bond, 1999. "GMM estimation with persistent panel data: an application to production functions," IFS Working Papers W99/04, Institute for Fiscal Studies.
- Bryan S. Graham & James L. Powell, 2012. "Identification and Estimation of Average Partial Effects in “Irregular” Correlated Random Coefficient Panel Data Models," Econometrica, Econometric Society, vol. 80(5), pages 2105-2152, September.
- Chamberlain, Gary, 1992. "Efficiency Bounds for Semiparametric Regression," Econometrica, Econometric Society, vol. 60(3), pages 567-596, May.
- Laage, Louise, 2024.
"A Correlated Random Coefficient panel model with time-varying endogeneity,"
Journal of Econometrics, Elsevier, vol. 242(2).
- Louise Laage, 2020. "A Correlated Random Coefficient Panel Model with Time-Varying Endogeneity," Papers 2003.09367, arXiv.org, revised Nov 2022.
- Louise Laage, 2021. "A Correlated Random Coefficient Panel Model with Time-Varying Endogeneity," Working Papers gueconwpa~21-21-10, Georgetown University, Department of Economics.
- Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Escanciano, Juan Carlos, 2023.
"Irregular identification of structural models with nonparametric unobserved heterogeneity,"
Journal of Econometrics, Elsevier, vol. 234(1), pages 106-127.
- Juan Carlos Escanciano, 2020. "Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity," Papers 2005.08611, arXiv.org.
- Mayer, Alexander, 2022. "On the local power of some tests of strict exogeneity in linear fixed effects models," Econometrics and Statistics, Elsevier, vol. 24(C), pages 49-74.
- Li, Ming, 2026. "Identification and estimation in a time-varying endogenous random coefficient panel data model," Journal of Econometrics, Elsevier, vol. 256(PA).
- Laage, Louise, 2024.
"A Correlated Random Coefficient panel model with time-varying endogeneity,"
Journal of Econometrics, Elsevier, vol. 242(2).
- Louise Laage, 2020. "A Correlated Random Coefficient Panel Model with Time-Varying Endogeneity," Papers 2003.09367, arXiv.org, revised Nov 2022.
- Louise Laage, 2021. "A Correlated Random Coefficient Panel Model with Time-Varying Endogeneity," Working Papers gueconwpa~21-21-10, Georgetown University, Department of Economics.
- Crt Kostevc, 2005. "Performance of Exporters: Scale Effects or Continuous Productivity Improvements," LICOS Discussion Papers 15905, LICOS - Centre for Institutions and Economic Performance, KU Leuven.
- Yoshitsugu Kitazawa, 2003. "Dynamic Panel Data Model and Moment Generating Function," Discussion Papers 13, Kyushu Sangyo University, Faculty of Economics.
- Maurice J.G. Bun & Sarafidis, V., 2013. "Dynamic Panel Data Models," UvA-Econometrics Working Papers 13-01, Universiteit van Amsterdam, Dept. of Econometrics.
- Giovanni Compiani & Yuichi Kitamura, 2016. "Using mixtures in econometric models: a brief review and some new results," Econometrics Journal, Royal Economic Society, vol. 19(3), pages 95-127, October.
- Bertrand, Olivier & Zuniga, Pluvia, 2006.
"R&D and M&A: Are cross-border M&A different? An investigation on OECD countries,"
International Journal of Industrial Organization, Elsevier, vol. 24(2), pages 401-423, March.
- Olivier Bertrand & Pluvia Zuniga, 2004. "R&D and M&A: Are cross-border M&A different? An investigation on OECD countries," Cahiers de la Maison des Sciences Economiques bla04072, Université Panthéon-Sorbonne (Paris 1).
- Sara Barcenilla-Visús & José-María Gómez-Sancho & Carmen López-Pueyo & María-Jesús Mancebón & Jaime Sanaú, 2013. "Technical Change, Efficiency Change and Institutions: Empirical Evidence for a Sample of OECD Countries," The Economic Record, The Economic Society of Australia, vol. 89(285), pages 207-227, June.
- Amable, Bruno & Demmou, Lila & Lezdema, Ivan, 2007.
"Competition, Innovation and Distance to Frontier,"
CEPREMAP Working Papers (Docweb)
0706, CEPREMAP.
- Bruno Amable & Lilas Demmou & Ivan Ledezma, 2008. "Competition, Innovation and Distance to Frontier," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00340409, HAL.
- Bruno Amable & Lilas Demmou & Ivan Ledezma, 2008. "Competition, Innovation and Distance to Frontier," Post-Print halshs-00340409, HAL.
- Bruno Amable & Lilas Demmou & Ivan Ledezma, 2008. "Competition, innovation and distance to frontier," Documents de travail du Centre d'Economie de la Sorbonne r08064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Chris Muris & Konstantin M. Wacker, 2026.
"Estimating Interaction Effects With Panel Data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 41(4), pages 360-376, June.
- Chris Muris & Konstantin Wacker, 2022. "Estimating interaction effects with panel data," Papers 2211.01557, arXiv.org, revised Mar 2025.
- Muris, Chris & Wacker, Konstantin M., 2025. "Estimating interaction effects with panel data," GLO Discussion Paper Series 1583, Global Labor Organization (GLO).
- Muris, Chris & Wacker, Konstantin M., 2025. "Estimating interaction effects with panel data," VfS Annual Conference 2025 (Cologne): Revival of Industrial Policy 325434, Verein für Socialpolitik / German Economic Association.
- Oliver Bischoff & Achim Buchwald, 2018.
"Horizontal and Vertical Firm Networks, Corporate Performance and Product Market Competition,"
Journal of Industry, Competition and Trade, Springer, vol. 18(1), pages 25-45, March.
- Bischoff, Oliver & Buchwald, Achim, 2015. "Horizontal and Vertical Firm Networks, Corporate Performance and Product Market Competition," MPRA Paper 63413, University Library of Munich, Germany.
- Bischoff, Oliver & Buchwald, Achim, 2016. "Horizontal and Vertical Firm Networks, Corporate Performance and Product Market Competition," VfS Annual Conference 2016 (Augsburg): Demographic Change 145730, Verein für Socialpolitik / German Economic Association.
- Yongfu Huang, 2011.
"Private investment and financial development in a globalized world,"
Empirical Economics, Springer, vol. 41(1), pages 43-56, August.
- Yongfu Huang, 2006. "Private investment and financial development in a globalized world," Bristol Economics Discussion Papers 06/589, School of Economics, University of Bristol, UK.
- Fidrmuc, Jarko & Siddiqui, Martin, 2015.
"Institutions and Creative Destruction in CEECs: Determinants of Inefficient Use of Assets,"
VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy
113201, Verein für Socialpolitik / German Economic Association.
- Jarko Fidrmuc & Martin Siddiquiy, 2015. "Institutions and Creative Destruction in CEECs: Determinants of Inefficient Use of Assets," Working Papers 353, Leibniz Institut für Ost- und Südosteuropaforschung (Leibniz Institute for East and Southeast European Studies).
- David Roodman, 2009.
"A Note on the Theme of Too Many Instruments,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(1), pages 135-158, February.
- David Roodman, 2007. "A Note on the Theme of Too Many Instruments," Working Papers 125, Center for Global Development.
- Črt Kostevc, 2009. "Foreign Market Competition as a Determinant of Exporter Performance: Evidence from Slovenian Manufacturing Firms," The World Economy, Wiley Blackwell, vol. 32(6), pages 888-913, June.
- Manuel Arellano & Stéphane Bonhomme, 2012.
"Identifying Distributional Characteristics in Random Coefficients Panel Data Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 79(3), pages 987-1020.
- Manuel Arellano & Stéphane Bonhomme, 2009. "Identifying Distributional Characteristics in Random Coefficients Panel Data Models," Working Papers wp2009_0904, CEMFI.
- Manuel Arellano & Stéphane Bonhomme, 2009. "Identifying distributional characteristics in random coefficients panel data models," CeMMAP working papers CWP22/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- repec:dau:papers:123456789/6914 is not listed on IDEAS
- Fritsch, Michael & Changoluisa, Javier, 2017.
"New business formation and the productivity of manufacturing incumbents: Effects and mechanisms,"
Journal of Business Venturing, Elsevier, vol. 32(3), pages 237-259.
- Michael Fritsch & Javier Changoluisa, 2014. "New Business Formation and the Productivity of Manufacturing Incumbents: Effects and Mechanisms," Jena Economics Research Papers 2014-025, Friedrich-Schiller-University Jena.
- Meri Davlasheridze & Pinar C. Geylani, 2017. "Small Business vulnerability to floods and the effects of disaster loans," Small Business Economics, Springer, vol. 49(4), pages 865-888, December.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2026-09-14 (Econometrics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2608.23988. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: https://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.
Printed from https://ideas.repec.org/p/arx/papers/2608.23988.html