This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial error...

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...

The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two-step approach is employed to derive the conditional type-II maximum likelihood (ML-II) posterior distribution of the coefficients and individual effects. The ML-II posterior...

The paper develops a general Bayesian framework for robust linear static panel data models using epsilon-contamination. A two-step approach is employed to derive the conditional type II maximum likelihood (ML-II) posterior distribution of the coefficients and individual effects. The ML-II...

This paper estimates a hedonic housing model based on flats sold in the city of Paris over the period 1990-2003. This is done using maximum likelihood estimation taking into account the nested structure of the data. Paris is historically divided into 20 arrondissements, each divided into four...

Chamberlain [Chamberlain, G., 1982. Multivariate regression models for panel data. Journal of Econometrics 18, 5-46] showed that the fixed effects (FE) specification imposes testable restrictions on the coefficients from regressions of all leads and lags of dependent variables on all leads and...

This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial error...

Chamberlain (1982) showed that the fixed effects (FE) specification imposes testable restrictions on the coefficients from regressions of all leads and lags of dependent variableson all leads and lags of independent variables. Angrist and Newey (1991) suggested computing this test statistic as...