This paper proposes the analysis of panel data whose dynamic structure is heterogeneous across individuals. Our aim is to estimate the cross-sectional distributions and/or some distributional features of the heterogeneous mean and autocovariances. We do not assume any specific model for the...

This paper develops a nonparametric analysis for the sharp regression discontinuity (RD) design in which the continuous forcing variable may contain measurement error. We show that if the observable forcing variable contains measurement error, this error causes severe identification bias for the...

Testing the presence of serial correlation in the error terms in fixed effects regression models is important for many reasons. This paper proposes portmanteau tests based on the sum of the squares of autocorrelation estimators. This approach is a direct extension of the Box–Pierce or...

Our confidence set quantifies the statistical uncertainty from data-driven group assignments in grouped panel models. It covers the true group memberships jointly for all units with pre-specified probability and is constructed by inverting many simultaneous unit-specific one-sided tests for...