This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on dedicated factor models and simultaneously determines the number of factors, the allocation of each measurement to a unique factor, and the...

This paper formulates and estimates multistage production functions for children's cognitive and noncognitive skills. Skills are determined by parental environments and investments at different stages of childhood. We estimate the elasticity of substitution between investments in one period and...

In this paper, we investigate the use of interactive effect or linear factor models in regional policy evaluation. We contrast treatment effect estimates obtained by Bai (2009)'s least squares method with the popular difference in difference estimates as well as with estimates obtained using...

Quantile factor models (QFM) represent a new class of factor models for high-dimensional panel data. Unlike approximate factor models (AFM), which only extract mean factors, QFM also allow unobserved factors to shift other relevant parts of the distributions of observables. We propose a quantile...

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

In the 2008 Socio-Economic Panel Study (SOEP) Pretest, the factorial survey method was tested for the first time for use in the SOEP longitudinal study. In this paper, we describe the construction and application of the vignette module, which has its origins in the field of justice research and...

We study the informational content of factor structures in discrete triangular systems. Factor structures have been employed in a variety of settings in cross sectional and panel data models, and in this paper we formally quantify their identifying power in a bivariate system often employed in...

Analyses of spatial or network data are now very common. Yet statistical inference is challenging since unobserved heterogeneity can be correlated across neighboring observational units. We develop an estimator for the variance-covariance matrix (VCV) of OLS and 2SLS that allows for arbitrary...

Data from a range of different environments indicate that the incidence of death is not randomly distributed across families but, rather, that there is a clustering of death amongst siblings. A natural explanation of this would be that there are (observed or unobserved) differences across...