In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This model has the advantages of being flexible and of being able to allow for common shocks and their heterogeneous impacts on cross sections, thus making it suitable for the...

In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The modelling framework under investigation can accommodate both nonlinear deterministic trends and cross-sectional dependence. And we consider the so-called "large panels" where both the...

We consider estimation of a functional-coefficient panel data model. This model is useful for modelling time varying and cross-sectionally heterogeneous relationships between economic variables. We allow for arbitrary serial correlation and heteroskedasticity in the model. When the number of...