This paper provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … approach is illustrated with an application to key financial variables using an unbalanced panel of US firms from merged CRSP …

-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T …

a high‐dimensional parameter in both homogeneous cross‐sectional and unit‐heterogeneous dynamic panel data settings. In … dependent time series and panel data. This method "leaves out the neighbors" when fitting nuisance components, and we …‐dimensional. In heterogeneous panel data settings, we model the unobserved unit heterogeneity as a weakly sparse deviation from …

We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed …

-econometric and panel data models. …

The problems of how to evaluate and compare the quality of models formed from panel data are discussed. Using the … several out-of-sample parts of a panel data set, but un-used regions and time periods. Emphasis is on comparing models and two …

In this paper the class of admissable tests for unit roots in panel data sets of autoregressive, Gaussian time series …

We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general …