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

We study estimation of dynamic panel data models with error cross-sectional dependence generated by an unobserved …. The simulation results suggest that the CCEP estimator can be used to estimate dynamic panel data models provided T is not …

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 …

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 …

This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross …

This paper presents a new approach to estimation and inference in panel data models with unobserved common factors …

This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross …

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

-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 …