This survey discusses the recent causal panel data literature. This recent literature has focused on credibly …

, as no-arbitrage theory predicts. Our approach also allows us to document interesting cyclical and secular time …

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 …

Panel or grouped data are often used to allow for unobserved individual heterogeneity in econometric models via fixed … effects. In this paper, we discuss identification of a panel data model in which the unobserved heterogeneity both enters …

Dutch Transportation Panel, in which refreshment draws were taken from the population of interest in order to deal with … heavy attrition of the original panel. I show how these additional samples can be used to adjust for sample selection …

indicate that, for the procedures considered, the existing asymptotic theory is not a good guide in a sample the size of …

asymptotic distribution theory leads one to reject joint hypothesis tests far too often. We argue that the source of the problem …