In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …

estimation efficiency while properly tackling the potential bias due to unobserved individual characteristics. We propose an … clean the bias in the unpaired sample. In a second step, corrected unpaired observations are used jointly with panel data …. This reduces the standard errors of the estimation coefficients and might increase their significance as well, otherwise …

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper … concludes with an empirical application to consumer price inflation in Germany, France and Italy, and re-examines the extent to … which observed inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our …

This paper reconsiders the long-run economic relationship between health care expenditure and income using a panel of … cointegration properties between health care spending and income. This is done in a panel data context controlling for both cross … dependence. Heterogeneity is handled through fixed effects in a panel homogeneous model and through a panel heterogeneous model …

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …

strategies for dealing with clustering in research of this type. On balance, the estimates point to a substantial and …

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao … trivial due to the incidental parameters problem that arises, and its implications for estimation and inference. We approach …

using matching methods. Because precise estimation of the expected counterfactual is particularly important in regions …