This paper studies the estimation of dynamic covariance matrices with multiple conditioning variables, where the matrix size can be ultra large (divergent at an exponential rate of the sample size). We introduce an easy-to-implement semiparametric method to estimate each entry of the covariance...

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...

The empirical and methodological efforts in using the generalised linear model to model healthcare costs have been mostly concentrated on selecting the correct link and variance functions. Another type of misspecification - misspecification of functional form of the key covariates - has been...