This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile … regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the … development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting …

if the time dimension of the panel is as small as the number of its regressors. Extensions to panels with time effects …

I consider linear panel data models with unobserved factor structures when the number of time periods is small relative …

pandemic's impact on the economic activity of six Euro area economies. A class of dynamic panel data models and their … cross-sectional dependence in the error processes. Estimation and inference for this class of panel models are based on both …

This paper develops a Stein-like combined estimator for large heterogeneous panel data models under common structural …

This study develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed … effects, allowing for temporal correlation within each individual. The conventional QR standard errors can seriously …