Kneip, Alois; Sickles, Robin C.; Song, Wonho - In: Econometric Theory 28 (2012) 03, pp. 590-628
This paper introduces a new estimation method for arbitrary temporal heterogeneity in panel data models. The paper provides a semiparametric method for estimating general patterns of cross-sectional specific time trends. The methods proposed in the paper are related to principal component...