of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …

This paper considers model selection and model averaging in panel data models with a multifactor error structure. We … and show that the trade-off between bias and variance remains in the asymptotic theory. We then propose a focused …

As panel vector autoregressive (PVAR) models can include several countries and variables in one system, they are well …-supported restrictions. The prior differentiates between domestic and foreign variables, thereby allowing a less restrictive panel structure …

under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …

As panel vector autoregressive (PVAR) models can include several countries and variables in one system, they are well …-supported restrictions. The prior differentiates between domestic and foreign variables, thereby allowing a less restrictive panel structure …

outcomes directly. In this paper we propose two alternative Bayesian treatment modeling and inferential frameworks for panel … to the labor market. The frameworks differ in their modeling of the endogeneity of the treatment and the panel structure …

We analyze the problem of parameter inconsistency in panel data econometrics due to the correlation of exogenous …

We analyse the problem of parameter inconsistency in panel data econometrics due to the correlation of exogenous …