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

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data … cross section averages must be included in individual equations of the panel, and the number of cross section averages must … dimension of the panel is sufficiently large. …

An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite … signal and noise memory, the strength of autocorrelation, the size of the IV set, and the panel length. Finally, some … practical guidelines are provided. -- Panel data ; Measurement error ; ARMA model ; GMM ; Signal-noise ratio ; Error memory ; IV …

We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic … by estimating a panel VAR on sector level data for labour productivity and hours worked growth for Canada, Germany …, France, Italy, the UK and the US from 1992 Q1 to 2011 Q3. We use historical decompositions to examine the determinants of …