This paper studies test of hypotheses for the slope parameter in a linear time trend panel data model with serially correlated error component disturbances. We propose a test statistic that uses a bias corrected estimator of the serial correlation parameter. The proposed test statistic which is...

Building upon the work of Chen et al. (2010), this paper proposes a test for sphericity of the variance-covariance matrix in a …xed e¤ects panel data regression model without the normality assumption on the disturbances.

This paper develops the adaptive elastic net GMM estimator in large dimensional models with many possibly invalid moment conditions, where both the number of structural parameters and the number of moment conditions may increase with the sample size. The basic idea is to conduct the standard GMM...

This paper suggests random and fixed effects spatial two-stage least squares estimators for the generalized mixed regressive spatial autoregressive panel data model. This extends the generalized spatial panel model of Baltagi, Egger and Pfaffermayr (2013) by the inclusion of a spatial lag...

This paper extends Pesaran's (2006) work on common correlated effects (CCE) estimators for large heterogeneous panels with a general multifactor error structure by allowing for unknown common structural breaks. Structural breaks due to new policy implementation or major technological shocks, are...

This paper assesses the role of intra-sectoral spillovers in total factor productivity across Chinese producers in the chemical industry. We use a rich panel data-set of 12,552 firms observed over the period 2004-2006 and model output by the firm as a function of skilled and unskilled labor,...

This paper studies the estimation of change point in panel models. We extend Bai (2010) and Feng, Kao and Lazarová (2009) to the case of stationary or nonstationary regressors and error term, and whether the change point is present or not. We prove consistency and derive the asymptotic...

This paper presents initial findings on the economic impact of the Earned Income Tax Credit (EITC) based on a sample of Chicago area households that filed tax returns in the spring of 1998. Respondents reported on their detailed use of the funds to pay bills, purchase new items, or save. Asset...

This paper processes copula-based tests for testing cross-sectional independence of panel models.

Our paper utilizes variation across the 50 U.S. states to examine the relationship between public expenditures on children and child outcomes. We find that public expenditures on children are related to better child outcomes across a wide range of indicators, including measures of child...