This paper develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous … correlation can be generated by both the presence of common regressors among units and weak spatial dependence among the error … terms. Several characteristics of the panel are considered: cross-sectional and time-series dimensions can either be fixed …

an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …

We examine real business cycle convergence for 41 euro area regions and 48 US states. Results obtained by a panel model … with spatial correlation indicate that the relevance of common business cycle factors is rather stable over the past two …

an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

This paper studies estimation in linear dynamic panel data models with multiple interactive effects when both N and T … are large. We derive the bias term in an order p dynamic panel data model and the limiting distribution of the estimator … between 2000 and 2015 shows dynamic panel data model is an effective method to produce effective trading strategies …

This paper provides an approach to estimation and inference for non-linear conditional mean panel data models, in the …

correlation of the factor loadings, we show that factor augmented panel data models can be encompassed by a standard two-way fixed …A large strand of the literature on panel data models has focused on explicitly modelling the cross-section dependence … between panel units. Factor augmented approaches have been proposed to deal with this issue. Under a mild restriction on the …