variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests …

estimation procedures. Observationally equivalent aggregation results can be generated by errors in variables models (see Aigner …

In this paper we study estimation of and inference for average treatment effects in a setting with panel data. We focus …

In both corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these …

suggest the results are not stable. We argue that repeated cross sections do not properly specify the model. Panel methods … including hedonic studies and travel cost studies could be enhanced using panel data …

Linear panel models, and the "event-study plots" that often accompany them, are popular tools for learning about policy …

We propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel data …; Section 2.6). We show that panel data allows the econometrician to (i) introduce dependence between the regressors and the … (NLSY79). Consistent with prior work (e.g., Chamberlain, 1982; Vella and Verbeek, 1998), we find that using panel data to …

We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a …