ABSTRACT

Estimators (CV)) in the Presence of Incidental Parameters...............376 13.4 Issues of Initial Observations.................................................................377 13.5 Method of Moments Estimator for Dynamic Models

with Individual-Specific Effects Only...................................................379 13.6 Likelihood Approach for the Dynamic Fixed

Individual-Specific Effects Model .........................................................382 13.7 Models with Both Individual-and Time-Specific

Additive Effects .......................................................................................384 13.8 Estimation of Multiplicative Models ....................................................390 13.9 Test of Additive versus Multiplicative Model.....................................392 13.10 Concluding Remarks...............................................................................393 13.11 Acknowledgment ....................................................................................394 References.............................................................................................................394

Panel data, by blending inter-individual differences and intra-individual dynamics, have greater capacity for capturing the complexity of human behavior than data sets with only a temporal or a cross-sectional dimension (e.g., Hsiao 2003, 2007). However, typical panels focus on individual outcomes. Factors affecting individual outcomes are numerous. It is rare that the conditional density of the outcomes, yit, conditional on certain variables, x