This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

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 …

In this paper, we consider the estimation of a dynamic panel data model with non-stationary multi-factor error …

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 …