The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies -- a problem that is particularly important in economics and...

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with existing approaches. We conduct a systematic comparison of their predictive accuracy in settings with different cross-sectional (N) and time (T) dimensions and varying degrees of...

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with existing approaches. We conduct a systematic comparison of their predictive accuracy in settings with different cross-sectional (N) and time (T) dimensions and varying degrees of...

This paper presents a new approach to estimation and inference in panel data models with unobserved common factors possibly correlated with exogenously given individual-specific regressors and/or the observed common effects. The basic idea behind the proposed estimation procedure is to filter...