Our paper introduces a new estimation method for arbitrary temporal heterogeneity in panel data models. The paper provides a semiparametric method for estimating general patterns of cross-sectional specific time trends. The methods proposed in the paper are related to principal component...

We use a panel cointegration model with multiple time- varying individual effects to control for the enigmatic missing factors in the credit spread puzzle. Our model specification enables as to capture the unobserved dynamics of the systematic risk premia in the bond market. In order to estimate...

In this paper we merge techniques from the efficiency literature with spatial econometric techniques. In particular, we combine calculation of efficiency from the unit speci c effects with the spatial lag model to develop a spatial autoregressive frontier model for panel data. Features of the...