When the panel is incomplete, which is the rule rather than the exception, standard estimation methods cannot be applied. This paper considers a model with spatial lag and two way-way error components regression with unbalanced data. The paper derives several estimators for structural...

This paper studies estimation of linear panel regression models with heterogeneous coefficients, when both the regressors and the residual contain a possibly common, latent, factor structure. Our theory is (nearly) efficient, because based on the GLS principle, and also robust to the...

We propose a new control function (CF) method for binary response outcomes in a triangular system with unobserved heterogeneity of multiple dimensions. The identified CFs are the expected values of the heterogeneity terms in the reduced form equations conditional on the endogenous, Xi ≡ (xi1,...

In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely used panel heteroskedasticity and autocorrelation...

This paper proposes new inference methods for panel AR models with arbitrary initial conditions and heteroskedasticity and possibly additional regressors that are robust to the strength of identification. Specifically, we consider several Maximum Likelihood based methods of constructing tests...

We propose a new control function (CF) method for binary response outcomes in a triangular system with unobserved heterogeneity of multiple dimensions. The identified CFs are the expected values of the heterogeneity terms in the reduced form equations conditional on the endogenous, Xi ≡ (xi1,...

We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general time-series and cross-section dependence and heterogeneity.Central to this literature are the fully-modified OLS of Phillips and Hansen (1990) that use a spectral...

In this paper, we propose a single-index panel data model with unobserved multiple interactive fixed effects. This model has the advantages of being flexible and of being able to allow for common shocks and their heterogeneous impacts on cross sections, thus making it suitable for the...

In this paper we consider the estimation of a dynamic panel autoregressive (AR) process of possibly infinite order in the presence of individual effects. We employ double asymptotics under which both the cross-sectional sample size and the length of time series tend to infinity and utilize the...

In response to the problem of shrinking birthrates in the country, in October 2007, the head of the Georgian Orthodox church announced that he would personally baptize any third and further baby born to Orthodox families from that time. This study uses the initiative as a natural experiment to...