heterogeneous panel data models and structural break models as special cases. The least squares method proposed by Bai (1997a, 2010 …

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …

-covariance matrix in a …xed e¤ects panel data regression model without the normality assumption on the disturbances. …

This paper proposes a test for sphericity in a fixed effects panel data model. It uses the Random Matrix Theory based … approach of Ledoit and Wolf (2002) to test for sphericity of the error terms in a fixed effects panel model with a large number …

It is well known that the standard Breusch and Pagan (1980) LM test for cross-equation correlation in a SUR model is … not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n … heterogeneous panel data model. This paper derives the asymptotic bias of this scaled version of the LM test in the context of a …

It is well known that the standard Breusch and Pagan (1980) LM test for cross-equation correlation in a SUR model is … not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n … panel data model. This paper derives the asymptotic bias of this scaled version of the LM test in the context of a fixed …

This paper develops procedures for the estimation of a common localizing parameter using panel data. Pooling … information across individuals in a panel aids the identification and estimation of the localising parameter and leads to … consistent estimation in somple panel models. However, in the important case of models with concomitant deterministic trends, it …