A space–time filter is set forth for spatial panel data situations that include random effects. We propose a general … spatial dynamic specification that encompasses several spatiotemporal models previously used in the panel data literature. We … apply the model to the case of highway induced travel demand. The theory of induced travel demand asserts that increased …

for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three …

estimation efficiency, while properly tackling the bias due to unobserved time-invariant characteristics. We assess its …

This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the … robustness of Bayesian panel data models to possible misspecication of the prior distribution. The proposed robust Bayesian … specifications which includes the dynamic panel model with random effects, with cross-correlated effects à la Chamberlain, for the …

This paper extends the work of Baltagi et al. (2018) to the popular dynamic panel data model. We investigate the … robustness of Bayesian panel data models to possible misspecification of the prior distribution. The proposed robust Bayesian … specifications which includes the dynamic panel model with random effects, with cross-correlated effects à la Chamberlain, for the …

In this paper, we study a class of high dimensional moment restriction panel data models with interactive effects … size. This is a very general framework and includes many existing linear and nonlinear panel data models as special cases … propose a sieve-based generalized method of moments estimation method and we show that under a set of simple identification …

This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper … develop a simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of …

This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper … simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of unobserved …