Bartolucci, Francesco; Belotti, Federico; Peracchi, Franco - Istituto Einaudi per l'Economia e la Finanza (EIEF) - 2013
Recent literature on panel data has emphasized the importance of accounting for time-varying unobserved heterogeneity, which may stem either from time-varying omitted variables or macro-level shocks that affect each individual unit differently. In this paper, we propose a computationally...