This paper introduces a panel GMM framework for identifying and estimating demand elasticities via heteroscedasticity …. While existing panel estimators address the simultaneity problem, the state-ofthe-art Feenstra/Soderbery (F/S) estimator …

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 …

I consider a simultaneous spatial panel data model, jointly modeling three effects: simultaneous effects, spatial … to analyze the relationship between trade and GDP using a panel data over time and across countries …

This paper provides an approach to estimation and inference for non-linear conditional mean panel data models, in the …

It is straightforward to construct moment conditions for two-sided censored panel data regression models with strictly …

This paper employs recently developed non stationary panel methodologies that assume some cross-section dependence to … (FMOLS) estimators developed by Pedroni (1996, 2000, 2001) and the Panel Dynamic OLS (PDOLS) estimator proposed by Mark and …

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 …

Unconditional quantile treatment effects are difficult to estimate in the presence of fixed effects. Panel data are … effects or differencing of data, however, redefines the quantiles. This paper introduces a quantile estimator for panel data …

Fixed effects estimators in nonlinear panel models with fixed T usually suffer from inconsistency because of the …

panel vector autoregressions with a fixed time dimension. The autoregressive parameters are estimated using the GMM …