estimation of panel data, illustrated by Bertrand, Duflo, and Mullainathan (2004). Thus, we propose a clustered covariance matrix …This paper develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed … estimator that solves this problem in panel QR models. In addition, we develop two cluster robust tests and establish their …

In this paper we study the least sqares (LS) estimator in a linear panel regression model with interactive fixed … of the number of interactive fixed effects used in the estimation, as long as this number does not fall below the true …

We consider a linear panel event-study design in which unobserved confounds may be related both to the outcome and to …

This paper develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed …

In this paper, we propose two classes of test statistics for detecting a break at an unknown date in panel data models …

panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and …

(DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all …

This paper considers estimation of panel data models with fixed effects. First, we will show that a consistent … "unrestricted fixed effects" estimator does not exist for autoregressive panel data models with initial conditions. We will derive … widely used GMM estimators for the conditional AR(1) panel model are inconsistent under trending fixed effects sequences …

Linear panel models and the "event-study plots" that often accompany them are popular tools for learning about policy … policy effects that underlie the plots, and allows for non-binary policy variables and estimation adjusting for pre …

The paper considers two estimators for the linear random effects panel data model with known heteroskedasticity …. Examples where heteroskedasticity can be treated as given include panel regression with averaged data, meta regression and the …