In this paper, we consider a class of time-varying panel data models with individual-specific regression coefficients and common factors where both the serial correlation and cross-sectional dependence among error terms can be present. Based on an initial estimator of factors, we propose a...

This paper studies a semi-parametric single-index predictive regression model with multiple nonstationary predictors that exhibit co-movement behaviour. Orthogonal series expansion is employed to approximate the unknown link function in the model and the estimator is derived from an optimization...

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...

This paper develops a method for testing for the presence of a single structural break in panel data models with unobserved heterogeneity represented by a factor error structure. The common factor approach is an appealing way to capture the effect of unobserved variables, such as skills and...

This paper considers a nonlinear time series model associated with both nonstationarity and endogeneity. The proposed model is then estimated by a nonparametric series method. An asymptotic theory is established in both point-wise and the space metric sense for the estimator. The Monte Carlo...

We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference that are robust to the existence of moments and to the form of weak cross-sectional dependence in the idiosyncratic error term. We apply our method to CRSP daily data

Bai (2009) proposes a recursive least-squares estimation method for large panel data models with unobservable interactive fixed effects, but the impact of recursion on the asymptotic properties of the least-squares estimators is not taken into account. In this paper, we extend Bai (2009) by...