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 …

the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly … estimator, we show that when T is large, a generalized least squares estimator that ignores the correlation between the …

This paper considers linear panel data models with a grouped pattern of heterogeneity when the latent group membership …

Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and … existing panel data time series model considering break studied by Levin et al. (2002), Pesaran (2004), Bai (2010), Liu et al …

. We find evidence of strong cross-sectional dependence in the panel, and clear support to a valid cointegration …

an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …

an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …

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 …