This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent … panel contains lagged values of the dependent variables, so long as there are no major asymmetries in the error distribution …. -- exponent of cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

This paper provides an overview of the recent literature on estimation and inference in large panel data models with … cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with …-sectional dependence. It considers a number of alternative estimators for static and dynamic panel data models, distinguishing between …

This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random … models, and the more recent developments in the area of cross-sectional dependence in panel data models. Keywords: random …

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

risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …

standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …