This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel …

We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed … current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

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 …

this paper, we present a generalized panel model which accounts for two features: (i) three types of network effects on the …

. Proponents of the "red-herring hypothesis" argue that this is not the case because most of the correlation of age and health care … argue that the relationship of age, time to death (TTD) and HCE should be estimated non-parametrically. Using a large panel …

Commonly used methods of production function estimation assume that a firm’s output quantity can be observed as data …