where the cross sectional and time series dimensions of the panel pass to infinity at the same rate, the uncorrected …This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random … the time series of each individual. To deal with the incidental parameter problem introduced by the noise of the within …

mimic panel estimates. We create two metrics for assessing the grouping process, one for each potential source of bias. If …Pseudo-panels allow estimation of panel models when only repeated cross-sections are available. This involves grouping … individuals into cohorts and using the cohort means as if they are observations in a genuine panel. Their practical use is …

Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models …. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables … parameters and average partial effects have normal distributions when the two dimensions of the panel grow large, but might …

Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models …. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables … parameters and average partial effects have normal distributions when the two dimensions of the panel grow large, but might …

We study a nonlinear two-way fixed effects panel model that allows for unobserved individual heterogeneity in slopes …) link function can be identified when both individual and time dimensions are large. We propose a novel iterative Gauss …

I derive the unconditional transformed likelihood function and its derivatives for a fixed-effects panel data model … with time lags, spatial lags, and spatial time lags that encompasses the pure time dynamic and pure space dynamic models as … time-space dynamic wage equation allowing for peer effects within households. …

This paper proposes new GMM estimators for the panel AR(1) model when the ratio of the variance of the individual …

Dynamic panel models play an increasingly important role in numerous areas of corporate finance research, and a variety … propose a bias-corrected global minimum variance (GMV) combined estimation procedure to mitigate this estimation problem. We … actual empirical corporate finance data. The GMV estimator non-trivially reduces bias and hence meaningfully increases the …