This paper revisits the panel autoregressive model, with a primary emphasis on the unit-root case. We study a class of misspecified Random effects Maximum Likelihood (mRML) estimators when T is either fixed or large, and N tends to infinity. We show that in the unit-root case, for any fixed...

We establish a nexus between migration flows and self-assessed happiness by proposing an empirical model that brings together the determinants of happiness proposed by psychology and the typical gravity variables from the economic migration literature. Taking this estimation net of the usual...

Inference on common parameters in panel data models with individual-specific fixed effects is a classic example of Neyman and Scott's (Econometrica 36:1-32, 1948) incidental parameter problem (IPP). One solution to this IPP is functional differencing (Bonhomme in Econometrica 80(4):1337-1385,...

This paper updates the available evidence on the public-private wage gap in Spain, which dates back to 2012. Through microdata drawn from the last three waves of the Wage Structure Survey (2010, 2014 and 2018), we study how this gap and its distribution by gender and education have evolved...

We consider point estimation and inference based on modifications of the profile likelihood in models for dyadic interactions between n agents featuring agent-specific parameters. The maximum-likelihood estimator of such models has bias and standard deviation of order n-1 and so is...

In this paper, we investigate the path to the green transition in Europe. In so doing, we implement an empirical model of dynamic panel data on a sample of sixteen Western European countries over the period 1980 to 2019. The model is consistent with various features of neoclassical growth theory...

This paper studies identification in a binary choice panel data model with choice probabilities depending on a lagged outcome, additional observed regressors and an unobserved unit-specific effect. It is shown that with two consecutive periods of data identification is not possible (in a...

This study explores the role of taxes in explaining companies' financing decisions. We test whether the corporate tax shields explanation of capital structure is applicable to firms listed on the Spanish stock exchange over the period 2007-2013. Taxes are found to be economically and...

This paper investigates whether the market level of information asymmetry affects firms' debt financing decisions. Using a sample of non-financial listed firms and a composite index based on microstructure measures of information asymmetry, we find that firms with more information asymmetry use...

This paper analyzes the determinants of governance transparency. In our model, entrepreneurs optimally decide the precision of their earning reporting by trading off the possibility of expropriating profits against the capacity to attract external funding.We find that information is only...