Building upon the work of Chen et al. (2010), this paper proposes a test for sphericity of the variance-covariance matrix in a …xed e¤ects panel data regression model without the normality assumption on the disturbances.

This paper extends Pesaran's (2006) work on common correlated effects (CCE) estimators for large heterogeneous panels with a general multifactor error structure by allowing for unknown common structural breaks. Structural breaks due to new policy implementation or major technological shocks, are...

This paper proposes a test for sphericity in a fixed effects panel data model. It uses the Random Matrix Theory based approach of Ledoit and Wolf (2002) to test for sphericity of the error terms in a fixed effects panel model with a large number of cross-sectional units and time series...

A widely relied upon but a formally untested consideration is the issue of stability in actors underlying the term structure of interest rates. In testing for stability, practitioners as well as academics have employed ad yhoc techniques such as splitting the sample into a few sub-periods and...

This paper considers models with latent/discrete endogenous regressors and presents a simulation-based two-step (STS) estimator. The endogeneity is corrected by adopting a simulation-based control function approacy. The first step consists of simulating the residuals of the reduced-form equation...

This paper establishes that regressors in the models with censored dependent variables need not be bounded for the standard asymptotic results to apply. Thus, regressors that grow monotonically with the observation index may be acceptable. It also purports to provide an upper bound on the rate...

In this paper, we apply the asymptotic theory of panel cointegration developed by Kao and Chiang (1997) to Coe and Helpman's (1995) international R&D spillovers regression. The OLS with bias-correction, the fully-modified (FM) and the dynamic OLS (DOLS) estimations produce different predictions...

In this paper we study the limiting distributions for ordinary least squares (OLS), fixed effects (FE), first difference (FD), and generalized least squares (GLS) estimators in a linear time trend regression with a one-way error component model in the presence of serially correlated errors. We...

This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed forcointegration in panel data. In particular, tests for two panel models, varying intercepts and varying slopes, and varying intercepts and common slopes are presented from the literature with a...

Popular and policy discussions have focused extensively on "entrepreneurship." While entrepreneurship is often viewed from the perspective of the individual's benefits--an increase in standard of living, flexibility in hours, and so forth--much of the policy interest derives from the presumption...