We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic … heterogeneity which is suitable for inference in short panels, unlike alternative estimators. Monte Carlo simulations indicate that … by estimating a panel VAR on sector level data for labour productivity and hours worked growth for Canada, Germany …

constrained estimation produces a quantitative model with both reasonable asset-pricing as well as business-cycle implications. …

easily integrated into Bayesian estimation procedures like the Gibbs sampler. By allowing for incomplete data sets, the …

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly … estimation with sparse priors on the loadings matrix. The choice of a sparse prior is an extension to the existing macroeconomic … majority of the variables in both datasets are irrelevant for factor estimation. -- Factor models ; variable selection ; sparse …

High nonresponse rates have become a rule in survey sampling. In panel surveys there occur additional sample losses due … to panel attrition, which are thought to worsen the bias resulting from initial nonresponse. However, under certain … conditions an initial wave nonresponse bias may vanish in later panel waves. We study such a "Fade away" of an initial …

This paper considers estimation methods and inference for linear dynamic panel data models with unit …-specific heterogeneity and a short time dimension. In particular, we focus on the identification of the coefficients of time …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify …

We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing … equilibrium exchange rate determination in a cross-country panel, we find evidence of largely heterogeneous adjustment and more … homogeneous long-run coefficients across countries. The coefficient heterogeneity appears largely idiosyncratic and is not …

cross-section (space) variation in the panel. The study shows that conventional panel estimation methods (pooled OLS, fixed … literature to show that the distortion is generally very large. This suggests the use of the CRE model for the panel estimation …Equilibrium real exchange rate and corresponding misalignment estimates differ tremendously depending on the panel …

This survey aims at providing the reader with a thread through the literature on the topic of panel econometrics of …. It documents the present trend away from models that take advantage of panel data almost exclusively in order to control … for unobserved heterogeneity, towards fully dynamic models where wages become endogenous and consequently the concept of …

The fixed effects (FE) panel model is one of the main econometric tools in empirical economic research. A major … to grouping FE in the linear panel model to reduce their dimensionality and ensure identifiability. By using unsupervised … than conventional panel models. …