We develop a non-dynamic panel smooth transition regression model with fixed individual effects. The model is useful for describing heterogenous panels, with regression coefficients that vary across individuals and over time. Heterogeneity is allowed for by assuming that these coefficients are...

This paper considers estimation and inference in fixed effects (FE) panel regression models with lagged dependent variables and/or other weakly exogenous (or predetermined) regressors when NN (the cross section dimension) is large relative to TT (the time series dimension). The paper first...

This paper examines current practice with respect to serial correlation in studies that rely on regression analysis of panel datasets. It first examines how frequently various techniques for dealing with serial correlation are used. Next, it runs a horse race using Monte Carlo simulation to...

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...

This paper considers estimation and inference in linear panel regression models with lagged dependent variables and/or other weakly exogenous regressors when N (the cross section dimension) is large relative to T (the time series dimension). It allows for fixed and time effects (FE-TE) and...

Count data regressions are an important tool for empirical analyses ranging from analyses of patent counts to measures of health and unemployment. Along with negative binomial, Poisson panel regressions are a preferred method of analysis because the Poisson conditional fixed effects maximum...

In this paper, we study the asymptotic distributions for least-squares (OLS), fully modified (FM), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all asymptotically normally distributed. However, the asymptotic...