Spatial effects and common-shocks effects are of increasing empirical importance. Each type of effect has been analyzed separately in a growing literature. This paper considers a joint modeling of both types. Joint modeling allows one to determine whether one or both of these effects are...

This paper considers dynamic panel models with a factor error structure that is correlated with the regressors. Both short panels (small T) and long panels (large T) are considered. With a small T, consistent estimation requires either a suitable formulation of the reduced form or an appropriate...

Neyman and Scott (1948) define the incidental parameter problem. In panel data with T observations per individual and unobservable individual- specific effects, the inconsistency of the maximum likelihood estimator of the common parameters is in general of the order 1/T. This paper considers the...

This paper develops the minimal asymptotic distributions for estimators of panel data models with incidental parameters

In this paper we put forward a brand choice model which incorporates responsiveness to marketing efforts as a form of structural heterogeneity. We introduce two latent segments of households. The households in the first segment are assumed to respond to marketing efforts while households in the...