The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two-step approach is employed to derive the conditional type-II maximum likelihood (ML-II) posterior distribution of the coefficients and individual effects. The ML-II posterior...

This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian approach departs from the standard Bayesian framework in...

This paper extends the Baltagi et al. (2018, 2021) static and dynamic ?-contamination papers to dynamic space-time models. We investigate the robustness of Bayesian panel data models to possible misspecification of the prior distribution. The proposed robust Bayesian approach departs from the...

An emerging literature on international activities of heterogeneous firms documents that exporting firms are more productive than firms that only sell on the national market. This positive exporter productivity premium shows up in a large number of empirical studies after controlling for...

In empirical studies it often happens that some variables for some units are far away from the other observations in the sample. These extreme observations, or outliers, often have a large impact on the results of statistical analyses – conclusions based on a sample with and without these...

Naturalization may be a relevant policy instrument affecting immigrant integration in host-country labor markets. We study the effect of naturalization on labor market outcomes of immigrants in Germany. We apply recent survey data and exploit a reform of naturalization rules in an instrumental...

This paper analyzes the Polish wage curve using individual data from the Polish Labor Force Survey (LFS) at the 16 NUTS2 regions over the period 1999-2010. This survey does not gather information on wages of self-employed or paid family workers. After excluding the unemployed, inactive and...

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...

This paper proposes a nonparametric method for evaluating treatment effects in the presence of both treatment endogeneity and attrition/non-response bias, using two instrumental variables. Making use of a discrete instrument for the treatment and a continuous instrument for...

Recent empirical research in family economics has shown the importance of parental investments on child's human capital development, but it is still not clear whether parents respond to changes across time in their child's skills and health. Using the Longitudinal Study of Australian Children,...