This paper develops an instrumental variable (IV) estimator for consistent estimation of dynamic panel data models with a multifactor error structure when both N and T, the cross-sectional and time series dimensions respectively, are large. Our approach projects out the common factors from...

In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely used panel heteroskedasticity and autocorrelation...

This paper puts forward a new instrumental variables (IV) approach for linear panel data-models with interactive effects in the error term and regressors. The instruments are transformed regressors and so it is not necessary to search for external instruments. The proposed method asymptotically...

In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely used panel heteroskedasticity and autocorrelation...

This paper puts forward a new instrumental variables (IV) approach for linear panel datamodels with interactive effects in the error term and regressors. The instruments are transformed regressors and so it is not necessary to search for external instruments. The proposed method asymptotically...

This paper develops two instrumental variable (IV) estimators for dynamic panel data models with exogenous covariates and a multifactor error structure when both crosssectional and time series dimensions, N and T respectively, are large. Our approach initially projects out the common factors...

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...

Inequality between private and public patients in Australia has been an ongoing concern due to its two tiered insurance system. This paper investigates the variations in hospital length of stay for hip replacements using Victorian Admitted Episodes Dataset from 2003/2004 to 2014/2015, employing...