This paper develops a Stein-like combined estimator for large heterogeneous panel data models under common structural breaks. The model allows for cross-sectional dependence through a general multifactor error structure. By utilizing the common correlated effects (CCE) estimation technique, we...

This paper provides estimation and inference methods for conditional average treatment effects (CATE) characterized by a high‐dimensional parameter in both homogeneous cross‐sectional and unit‐heterogeneous dynamic panel data settings. In our leading example, we model CATE by interacting...

This paper investigates the long-run effects of public debt and inflation on economic growth. Our contribution is both theoretical and empirical. On the theoretical side, we develop a cross-sectionally augmented distributed lag (CS-DL) approach to the estimation of long-run effects in dynamic...

We examine the importance of possible non-random attrition to an econometric model of life cycle labor supply including joint nonlinear taxation of wage and interest incomes and latent heterogeneity. We use a Wald test comparing attriters to nonattriters and variable addition testing based on...

In this paper, we perform an extensive Monte Carlo study of the finite sample properties of different estimators for panel data sample selection models. The estimators investigated are various two-step estimators and maximum likelihood estimators with simultaneous equations for the...

This paper introduces a method which permits valid inference given a finite number of heterogeneous, correlated clusters. Many inference methods assume clusters are asymptotically independent or model dependence across clusters as a function of a distance metric. With panel data, these...

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

We study identification in a binary choice panel data model with a single predetermined binary covariate (i.e., a covariate sequentially exogenous conditional on lagged outcomes and covariates). The choice model is indexed by a scalar parameter θ, whereas the distribution of unit-specific...

This paper proposes the Fixed Effects Filtered (FEF) and Fixed Effects Filtered instrumental variable (FEF-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T is fixed. It is shown that the FEF and FEF-IV estimators...