We develop a new quantile-based panel data framework to study the nature of income persistence and the transmission of … and asset data in recent waves of the Panel Study of Income Dynamics, we find nonlinear persistence and conditional …

This paper studies a simple dynamic panel linear regression model with interactive fixed effects in which the variable … (LS-MD) estimation method. -- dynamic panel ; interactive fixed effects ; measurement error ; LS-MD estimation …

Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known incidental … expansions to conditional maximum likelihood estimators with concave objective functions in parameters for panel models with …

volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the …

We propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel data …; Section 2.6). We show that panel data allows the econometrician to (i) introduce dependence between the regressors and the … (NLSY79). Consistent with prior work (e.g., Chamberlain, 1982; Vella and Verbeek, 1998), we find that using panel data to …

Recent developments in nonlinear panel data analysis allow identifying and estimating general dynamic systems. In this …

heterogeneity or unobserved state variables and panel data models with fixed effects. Recent developments in measurement error …

Fixed effects estimators of nonlinear panel data models can be severely biased because of the incidental parameter … expansions to conditional maximum likelihood estimators with concave objective functions in parameters for panel models with …