This paper is concerned with sphericity test for the two-way error components panel data model. It is found that the …

-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T …

This paper introduces a new test for error cross-sectional independence in large panel data models with exogenous …_{RMT} under heteroskedastic normal errors and assuming that both the panel size N and the sample size T grow to infinity in …

This paper investigates spatial dynamic panel data models with high order time-varying endogenous weights matrices. We … consider the panel data when $n$ is large, and $T$ can be large, but small relative to $n$. In this case, the maximum … likelihood estimation (ML) approach would be either infeasible or computationally complicated. Furthermore, under a …

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data … cross section averages must be included in individual equations of the panel, and the number of cross section averages must … dimension of the panel is sufficiently large …

In this paper we study the least sqares (LS) estimator in a linear panel regression model with interactive fixed … of the number of interactive fixed effects used in the estimation, as long as this number does not fall below the true …

An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite … signal and noise memory, the strength of autocorrelation, the size of the IV set, and the panel length. Finally, some … practical guidelines are provided. -- Panel data ; Measurement error ; ARMA model ; GMM ; Signal-noise ratio ; Error memory ; IV …

The authors address the issue of estimation and inference in dependent non-stationary panels of small cross …. -- panel cointegration ; fully modified ordinary least squares ; fully modified seemingly unrelated regression ; dynamic …

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data … of cross section averages must be included in individual equations of the panel, and the number of cross section averages … dimension of the panel is sufficiently large …