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Identification and estimation of nonseparable single-index models in panel data with correlated random effects

Čížek, Pavel; Lei, Jinghua - In: Journal of econometrics 203 (2018) 1, pp. 113-128

Persistent link: https://www.econbiz.de/10011974624

Determinants of equity return correlations : a case study of the Amman Stock Exchange

Alomari, Mohammad; Power, David M.; Tantisantiwong, Nongnuch - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 33-66

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Inferences in panel data with interactive effects using large covariance matrices

Bai, Jushan; Liao, Yuan - In: Journal of econometrics 200 (2017) 1, pp. 59-78

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Harding, Matthew C.; Lamarche, Carlos; Pesaran, M. Hashem - 2018

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 …

Persistent link: https://www.econbiz.de/10011898624

Estimation of panel model with spatial autoregressive error and common factors

Qian, J. B. - In: Computational economics 47 (2016) 3, pp. 366-399

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Does time difference between countries reduce bilateral trade? : an application of the correlated random effects method using panel data

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Endogenous regressors and correlated effects

Boumahdi, Rachid - In: The econometrics of panel data : fundamentals and …, (pp. 89 - 112). 2008

Persistent link: https://www.econbiz.de/10014559888

Factor-based imputation of missing values and covariances in panel data of large dimensions

Cahan, Ercument; Bai, Jushan; Ng, Serena - In: Journal of econometrics 233 (2023) 1, pp. 113-131

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Estimating IPAT models using panel data

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Robust inference for high-dimensional panel data models

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