We consider the method of moments estimation of a structural equation in a panel dynamic simultaneous equations model …

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 …

A new panel data model is proposed to represent the behavior of economies in transition allowing for a wide range of … formulated as a nonlinear time varying factor model. When applied to a micro panel, the decomposition provides flexibility in … idiosyncratic behavior over time and across section, while retaining some commonality across the panel by means of an unknown common …

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with …-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel …

Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the cross section sample size N … there is cross section error dependence, the probability limit of the dynamic panel regression estimator is a random … variable rather than a constant, which helps to explain the substantial variability observed in dynamic panel estimates when …

This paper proposes a parametric approach to estimating a dynamic binary response panel data model that allows for …

This paper revisits the panel autoregressive model, with a primary emphasis on the unit-root case. We study a class of …

In this paper, a control function approach is developed to deal with endogeneity issue in estimating panel data models ….S. data from the Panel Study of Income Dynamics. We find empirical evidence that income gradient rises during early childhood …

This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure …