In both corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these …

This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …

computationally costly GMM estimator in many cases. We apply our procedure to a large panel of return predictors and find that it …

Linear panel models, and the "event-study plots" that often accompany them, are popular tools for learning about policy …

Linear panel models featuring unit and time fixed effects appear in many areas of empirical economics. An active …

This note presents a simple, linear test for individual effects in dynamic models using panel data; building upon the … techniques of Holtz-Eakin, Newey, and Rosen (HNR) [198S] for estimating vector autoregressions using panel data. While … moment conditions implied by the presence of individual effects and is particularly suited for dynamic models using panel …

distributed lag relationships based on single time-series of observations have been usually rather imprecise. The promise of panel …

addressed much more directly given the recent availability of panel data featuring repeated observation over extended periods of …