panel data models where the observables are affected by common shocks, modelled through unobservable factors, are studied … the panel TSLS and LIML estimators, as the cross section dimension tends to infinity, is the lack of correlation between … shocks. If this condition fails, both estimators have degenerate distributions. When the panel TSLS and LIML estimators are …

We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data …

pandemic's impact on the economic activity of six Euro area economies. A class of dynamic panel data models and their … cross-sectional dependence in the error processes. Estimation and inference for this class of panel models are based on both …

This paper considers a linear panel data model with time varying heterogeneity. Bayesian inference techniques organized …

This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with …

This paper provides an overview of a time-varying Structural Panel Bayesian Vector Autoregression model that deals with …

misspecificity involved in compressed regression models. Methodologically, a multicountry large structural Panel Vector …

This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly … the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data …