This paper surveys some recent developments in panel data analysis. In particular, it focuses on the error component model which is popular in panel data applications, and discusses recent advances in its estimation under heteroscedasticity, serial correlation, and a general variance-covariance...

An overview of the organization and contents of the papers in this collection is provided. This collection of fourteen papers on the econometrics of panel data aims to provide the readers with a select group of contemporary theoretical and applied research topics in panel data analysis.

This paper parametrically obtains estimates of persistence in output using Pandit's (1977, 1982) Data Dependent Systems approach for modeling autoregressive and moving average processes. The estimates are based on over a century of annual data for the rate of change of output in nine...

This paper serves as a partial introduction to and survey of the literature on Markov-switching models. We review the history of this class of models, describe their mathematical structure, and exposit the basic ideas behind estimation and inference. The paper also describes how the approach can...

This paper contrasts the performance of heterogeneous and shrinkage estimators versus the more traditional homogeneous panel data estimators. The analysis utilizes a panel data set from 21 French regions over the period 1973–1998 and a dynamic demand specification to study the gasoline demand...