In this paper, we study a class of high dimensional moment restriction panel data models with interactive effects, where factors are unobserved and factor loadings are nonparametrically unknown smooth functions of individual characteristics variables. We allow the dimension of parameter vector...

In this paper, we introduce a regime switching panel data model with interactive fixed effects. We propose a maximum likelihood estimation method and develop an expectation and conditional maximization algorithm to estimate the unknown parameters. Simulation results show that the algorithm works...

We propose a novel spatial panel quantile regression method to investigate the impact of crude oil and carbon prices and neighboring fuel prices on regional retail fuel prices in the EU markets. This approach captures the changing price shock propagation and cross-market dependency of retail...