We consider a class of panel tests covering tests for the null hypothesis of no cointegration as well as cointegration … intercept only" are not correct. It is demonstrated that their usage results in size distortions growing with the panel size N …

We propose a new estimator for average causal effects of a binary treatment with panel data in settings with general …

This paper proposes a new panel data approach to identify and estimate the time-varying average treatment effect (ATE … type of heterogeneity, existing panel data approaches identify the ATE for limited subpopulations only. In contrast, the …

We consider a linear panel event-study design in which unobserved confounds may be related both to the outcome and to …

a high‐dimensional parameter in both homogeneous cross‐sectional and unit‐heterogeneous dynamic panel data settings. In … dependent time series and panel data. This method "leaves out the neighbors" when fitting nuisance components, and we …‐dimensional. In heterogeneous panel data settings, we model the unobserved unit heterogeneity as a weakly sparse deviation from …