The properties of classical panel data estimators including fixed effect, first-differences, random effects, and … generalized method of moments-instrumental variables estimators in both static as well as dynamic panel data models are …

-Stationarity and Cointegration -- 6. Specifying the ARDL Model -- 7. Vector Autoregressions -- 8. Panel Data Models -- 9. Non … containing multiple equations, as well as covering panel data models, and non-linear models of qualitative variables. The book …

We study estimation and inference in panel data regression models when the regressors of interest are macro shocks …

This paper constructs estimators for panel data regression models with individual specific heterogeneity and two … portfolio choice. The idea behind the estimators can also be used in a cross sectional setting. -- Panel Data ; Censored …

This paper proposes new ℓ1-penalized quantile regression estimators for panel data, which explicitly allows for …