“An exact maximum likelihood method is developed for the estimation of parameters in a
nonlinear non-Gaussian dynamic panel data model with unobserved random individual-
specific and time-varying effects. We propose an estimation procedure based on the
importance sampling technique. We evaluate the method in a Monte Carlo study for
Student’s t dynamic panel data models. We nally present an extensive empirical study
into the interrelationships between the economic growth gures of countries listed in
the Penn World Tables. It is shown that our dynamic panel data model can provide
an insightful analysis of common and heterogeneous features in world-wide economic
growth.”