This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data …

panel data models where the observables are affected by common shocks, modelled through unobservable factors, are studied … the panel TSLS and LIML estimators, as the cross section dimension tends to infinity, is the lack of correlation between … shocks. If this condition fails, both estimators have degenerate distributions. When the panel TSLS and LIML estimators are …

heterogeneity or unobserved state variables and panel data models with fixed effects. Recent developments in measurement error …

This paper develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous … terms. Several characteristics of the panel are considered: cross-sectional and time-series dimensions can either be fixed …

This paper considers a class of GMM estimators for general dynamic panel models, allowing for cross sectional …

of a dynamic panel data model for German states between 1970 and 2006. Our preferred specification relates changes in …-run perspective in a co-integration model. Here we specify a Panel-ECM and look at its short run adjustment to judge about the share … smoothening characteristics of income transfers to the East. As a robustness check we also apply the Panel-ECM with spatially …

We look at a panel of Latin American countries from 1970 and 2016 to enquire how exchange rate pass-through has changed … that ERPT changes with the kind of shock and the monetary policy response to it. …

In this paper we use the enhanced consumption data in the Panel Survey of Income Dynamics (PSID) from 2005-2017 to … the presence of unobserved heterogeneity. To reliably estimate heterogeneous responses in our un-balanced panel, we … their assets are low, as standard life-cycle theory would predict. In contrast, high-consumption types respond less on …

This paper studies the asymptotic validity of sieve bootstrap for nonstationary panel factor series. Two main results …