A large strand of the literature on panel data models has focused on explicitly modelling the cross-section dependence … between panel units. Factor augmented approaches have been proposed to deal with this issue. Under a mild restriction on the … correlation of the factor loadings, we show that factor augmented panel data models can be encompassed by a standard two-way fixed …

This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent … panel contains lagged values of the dependent variables, so long as there are no major asymmetries in the error distribution …. -- exponent of cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …

In presence of panel data, technical efficiency is used to compare the performances of Decision-Making Units (DMUs …). The novelty of this paper is the consideration of the dependence between the two error terms in the case of panel data and … balanced panel case, several models describing the evolution of the inefficiency over time and the dependence between the two …

This paper studies estimation in linear dynamic panel data models with multiple interactive effects when both N and T … are large. We derive the bias term in an order p dynamic panel data model and the limiting distribution of the estimator … between 2000 and 2015 shows dynamic panel data model is an effective method to produce effective trading strategies …

stationarity assumptions. Ishihara (2020) explores identification of the nonseparable panel data model under these assumptions and …

This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent … panel contains lagged values of the dependent variables, so long as there are no major asymmetries in the error distribution …

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …

This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random … models, and the more recent developments in the area of cross-sectional dependence in panel data models …

This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data … based on average of pair-wise correlation coefficients of the OLS residuals from the individual regressions in the panel …, and as predicted by the theory, quite robust to the presence of unit roots and structural breaks. The use of the CD test …

behavior. We construct a dynamic panel data model to examine how consumers allocate time to a portfolio of leisure activities … over time. Our data comprise a longitudinal panel where we tracked 287 U.S. consumers’ time use, consumption motives, and …