When analyzing panel data using regression models, it is often reasonable to allow for time-varying covariate effects …. We propose a novel approach to modelling timevarying coefficients in panel data regressions, which is based on penalized …

A system of regression equations (SURE) for analyzing panel data with random heterogeneity in intercepts and … coefficients, and unbalanced panel data is considered. A Maximum Likelihood (ML) procedure for joint estimation of all parameters …' of the proposed algorithm for modified ML estimation is illustrated by using panel data for output, inputs and costs for …

This paper considers fixed effects (FE) estimation for linear panel data models under possible model misspecification …

linear panel data model, which often forms the basis of testable economic hypotheses. The estimators of such a model are …