This paper introduces time-varying grouped patterns of heterogeneity in linear panel data models. A distinctive feature of our approach is that group membership is left unspecified. We estimate the model’s parameters using a “grouped fixed-effects” estimator that minimizes a least-squares...

This paper provides cross-country macro evidence on the effect of immigration on productivity. It combines panel data with instrumental variables to correct for OLS biases due to reverse causality. In particular, it introduces push-targeting instruments; they constitute a new approach to find...

I present a microeconometric model to analyse residential water demand using panel data. Pricing has an increasing-block structure. Database contains individual consumptions from water meters and lacks further information. Permanent income is treated as an unobservable individual effect...

The purpose of this paper is to review recently development methods of estimation of nonlinear fixed effects panel data models with reduced bias properties. We begin by describing fixed effects estimators and the incidental parameters problem. Next the explain how to construct analytical bias...