A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was thought before. Contrary to the usual stationarity...

In this paper, we consider the formulation and estimation of systems of regression equations with random individual effects in the intercept terms from unbalanced panel data, i.e., panel data where the individual time series have unequal length. Generalized Least Squares (GLS) estimation and...

In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis...