In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section …

algorithm are developped. We apply this framework to a large panel of US monthly macroeconomic series. In particular, we …

algorithm are developed. We apply this framework to a large panel of US monthly macroeconomic series. In particular, we identify …

measurement errors in an autoregressive panel data model. Finite memory of disturbances, latent regressors and measurement errors … inference using the level version of the equation seems superior to inference based on the equation in differences. -- Panel …

We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic … by estimating a panel VAR on sector level data for labour productivity and hours worked growth for Canada, Germany …

station level adjustment mechanisms in dynamic panel regressions with climate data. The paper provides asymptotic analyses … standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal … massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity …

a high‐dimensional parameter in both homogeneous cross‐sectional and unit‐heterogeneous dynamic panel data settings. In … dependent time series and panel data. This method "leaves out the neighbors" when fitting nuisance components, and we …‐dimensional. In heterogeneous panel data settings, we model the unobserved unit heterogeneity as a weakly sparse deviation from …

We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic … by estimating a panel VAR on sector level data for labour productivity and hours worked growth for Canada, Germany …

derive testable empirical implications for panel data. We then perform tests using longitudinal data from France during the …