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Preprint Aug 2026

Estimation of Random-Coefficient Dynamic Panel Data Models with a Fixed T

We study dynamic linear panel data models in which the lagged outcomes and strictly exogenous covariates carry individual-specific coefficients and the time-varying errors have a flexible covariance structure. With a fixed number of time periods, we point-identify the joint distribution of the random coefficients and t...

Tang Xun, Yu Pei · 0 citations

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