under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …

This paper presents a new approach to estimation and inference in panel data models with unobserved common factors …

panel data occurred at some unknown time or not. Panel data of our interest consist of a moderate or relatively large number …-ratio one by keeping the significance level under the null, mainly when stronger dependence within the panel is taken into …

empirical illustration to examine the Kuznets' U curve hypothesis with balanced panel data of Indian states is also provided …

This paper considers the problem of testing cross-sectional correlation in large panel data models with serially …

In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel …

This paper introduces a new test for error cross-sectional independence in large panel data models with exogenous … population counterpart, results from Random Matrix Theory are used to establish the high-dimensional limiting distribution of LM …_{RMT} under heteroskedastic normal errors and assuming that both the panel size N and the sample size T grow to infinity in …