This paper considers the problem of testing cross-sectional correlation in large panel data models with serially …-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in … account for serial correlation of an unknown form in the error term. We derive the limiting distribution of this test as (N …

Pseudo-panels allow estimation of panel models when only repeated cross-sections are available. This involves grouping … constrained by a lack of consensus on how the pseudo-panels should be formed, particularly to address potential sampling error … both metrics are above certain recommended values, the biases from aggregation and sampling error are minimised, meaning …

indicators are usually derived from population surveys like the German Socio-Economic Panel (SOEP) by direct estimation. Small … the Fay-Herriot model (Fay and Herriot, 1979), a small-area estimation technique designed to improve the precision of …

In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope … correlation and dependence of the random coefficient with covariates. The test is of great importance, since the widely used …

estimator, we show that when T is large, a generalized least squares estimator that ignores the correlation between the … the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …

that standard interaction term estimation underestimates the importance of a country's income level in the relationship …