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

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 …

Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of … observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In … in panel data is established. The results are illustrated through a simulation study. As a by-product of the developed …

This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure …

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

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 …