Ahn, Seung C.; Lee, Young H.; Schmidt, Peter - In: Journal of Econometrics 174 (2013) 1, pp. 1-14
This paper considers a panel data model with time-varying individual effects. The data are assumed to contain a large number of cross-sectional units repeatedly observed over a fixed number of time periods. The model has a feature of the fixed-effects model in that the effects are assumed to be...