This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...

This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and the errors can be derived. The advantage of the...

This paper proposes an exponential class of dynamic binary choice panel data models for the analysis of short T (time dimension) large N (cross section dimension) panel data sets that allows for unobserved heterogeneity (fixed effects) to be arbitrarily correlated with the covariates. The paper...