We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data …

This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data …

panel data models where the observables are affected by common shocks, modelled through unobservable factors, are studied … the panel TSLS and LIML estimators, as the cross section dimension tends to infinity, is the lack of correlation between … shocks. If this condition fails, both estimators have degenerate distributions. When the panel TSLS and LIML estimators are …

This paper considers the problem of testing cross-sectional correlation in large panel data models with serially …

We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All tests under … demonstrated that their usage results in size distortions growing with the panel size N. Moreover, we show which are the …

work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …

This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression … extensive set of new results on the asymptotic behavior of panel IV estimators in weak instrument settings. …

This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly … the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data …

In this paper, we consider the estimation of a dynamic panel data model with non-stationary multi-factor error …