This paper investigates the estimation and inference of spatial panel data models in which the regression coefficient …

In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The …

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 …

panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under … Carlo study. In an empirical application we use the predictor to forecast revenues for a large panel of bank holding …

a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of …

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …

error components of panel data models that contain random effects. This general specification encompasses several more … specific space-time structures that have been used recently in the panel data literature. Markov Chain Monte Carlo methods are …

until a recent past. This paper proposes a modelling strategy aimed at a best use of the data for nowcasting based on panel … clustering approach into the usual panel data model specification. A case study in the field of R&D variables illustrates the …

frontier model for panel data. Features of the modeling include time-varying efficiency and estimation of own and spillover …