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

In this paper we consider estimation and inference of common breaks in panel data models via adaptive group fused lasso … effect of foreign direct investment (FDI) on economic growth using a panel of 88 countries and regions from 1973 to 2012 and …

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. …

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 …

that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel … data and seemingly unrelated regression equation systems because it allows the incorporation of cross-sectional correlation … together with heteroskedasticity and serial correlation. Unfortunately, the associated, asymptotic standard error estimates are …

has been a workhorse for the analysis of panel data and seemingly unrelated regression equation systems because it allows … the incorporation of cross-sectional correlation together with heteroskedasticity and serial correlation. Unfortunately … Katz (1995) developed an approach that uses the Prais-Winsten estimator together with “panel corrected standard errors …

heterogeneous panel data models and structural break models as special cases. The least squares method proposed by Bai (1997a, 2010 …

This paper considers the problem of testing cross-sectional correlation in large panel data models with serially …-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in … account for serial correlation of an unknown form in the error term. We derive the limiting distribution of this test as (N …

the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly … estimator, we show that when T is large, a generalized least squares estimator that ignores the correlation between the …