Panel or grouped data are often used to allow for unobserved individual heterogeneity in econometric models via fixed … effects. In this paper, we discuss identification of a panel data model in which the unobserved heterogeneity both enters …

We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed … infinity. In a series of Monte Carlo experiments, we find that the asymptotic distribution theory provides a reasonably close … approximation to the exact finite sample distribution. We use panel dynamic OLS to estimate coefficients of the long-run money …

matrix of test assets, which leads to biases in the original test statistic. Random Matrix Theory allows us to account for …

Many panel data methods, while allowing for general dependence between covariates and time-invariant agent … panel data models and present constructive methods to derive feasible moment-based estimators for specific models. We also …