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This paper develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed effects, allowing arbitrary temporal correlation structure within each individual. The conventional QR standard errors assuming independent outcomes can seriously underestimate...
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This paper introduces a new model for spatial time series in which cross-sectional dependence varies nonlinearly over space by means of smooth transitions. We refer to our model as the Smooth Transition Spatial Autoregressive (ST-SAR). We establish consistency and asymptotic Gaussianity for the...
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autocorrelation estimators, the elimination of time effects does not cause a bias while the elimination of individual effects does. We …
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