We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel …

compare four models on a large panel of US quarterly data: factor models, factor models estimated on selected variables …

weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …

We develop a generalized dynamic factor model for panel data with the goal of estimating an unobserved index. While … model also accounts for multiple subjects. It is therefore suitable to a panel data framework. Second, our model estimates a … applied on a panel measuring attributes related to the operation of water and sanitation utilities …

We consider a new method to estimate causal effects when a treated unit suffers a shock or an intervention, such as a …-econometric and panel data models. …

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel …

from the curse of dimensionality. We apply the model to a panel of 90 daily realized volatilities pertaining to S&P100 from …

correlated brain activities (neuro-economics related) using fMRI data, where a panel version model is also presented …