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Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
Harding, Matthew - 2018
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …
Persistent link: https://www.econbiz.de/10012908711
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Forecasting with Panel Data : Estimation Uncertainty Versus Parameter Heterogeneity
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022
We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with …-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel …
Persistent link: https://www.econbiz.de/10013292495
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A Panel Data Model with Generalized Higher-Order Networks Effects
Baltagi, Badi H.; Ding, Sophia; Egger, Peter H. - 2021
this paper, we present a generalized panel model which accounts for two features: (i) three types of network effects on the …
Persistent link: https://www.econbiz.de/10013315048
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A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors
Pesaran, M. Hashem; Xie, Yimeng - 2021
result is shown to hold for pure latent factor models as well as for panel regressions with latent factors. Small sample …
Persistent link: https://www.econbiz.de/10013215800
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in …
Persistent link: https://www.econbiz.de/10013316613
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Heterogeneous Autoregressions in Short T Panel Data Models
Pesaran, M. Hashem; Yang, Liying - 2023
This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous …
Persistent link: https://www.econbiz.de/10014347822
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Reflections on “Testing for Unit Roots in Heterogeneous Panels”
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol - 2023
This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran...
Persistent link: https://www.econbiz.de/10014262740
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On the Capital Structure of Foreign Subsidiaries : Evidence from a Panel Data Quantile Regression Model
Miniaci, Raffaele; Panteghini, Paolo - 2021
This paper studies how variations in tax rates and profitability affect the (unconditional) quantiles of the distribution of the leverage of European foreign owned subsidiaries in the presence of unobserved company characteristics, possibly correlated with their observable dimensions. To achieve...
Persistent link: https://www.econbiz.de/10013226660
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Estimation and inference in large heterogeneous panels with a multifactor error structure
Pesaran, Mohammad Hashem - 2004
This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure …
Persistent link: https://www.econbiz.de/10010276157
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George; Pesaran, Mohammad Hashem - 2005
This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross …
Persistent link: https://www.econbiz.de/10010276160