This paper introduces a new test for error cross-sectional independence in large panel data models with exogenous …) principle and the sample correlation matrix R_{N} of the model's residuals. Since in large panels R_{N} poorly estimates its …_{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 …

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

This paper presents a new approach to estimation and inference in panel data models with unobserved common factors …

Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of … observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In … in panel data is established. The results are illustrated through a simulation study. As a by-product of the developed …

This paper proposes a test for sphericity in a fixed effects panel data model. It uses the Random Matrix Theory based … approach of Ledoit and Wolf (2002) to test for sphericity of the error terms in a fixed effects panel model with a large number …-Sectional Dependence in Fixed Effects Panel Data Models." …

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 …