a high‐dimensional parameter in both homogeneous cross‐sectional and unit‐heterogeneous dynamic panel data settings. In … dependent time series and panel data. This method "leaves out the neighbors" when fitting nuisance components, and we …‐dimensional. In heterogeneous panel data settings, we model the unobserved unit heterogeneity as a weakly sparse deviation from …

This paper develops the minimal asymptotic distributions for estimators of panel data models with incidental parameters … -- Incidental parameters ; panel data …

In this paper, we study semiparametric estimation for a single-index panel data model where the nonlinear link function …

or even when treatment is randomly assigned. I show that panel data and an additional assumption on the dependence …

Many panel data methods, while allowing for general dependence between covariates and time-invariant agent … panel data models and present constructive methods to derive feasible moment-based estimators for specific models. We also …

panel data sample selection models. The estimators investigated are various two-step estimators and maximum likelihood …

We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a …

-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T …