In this paper, we consider a class of time-varying panel data models with individual-specific regression coefficients and common factors where both the serial correlation and cross-sectional dependence among error terms can be present. Based on an initial estimator of factors, we propose a...

In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross sectional dimension and the temporal dimension to diverge. From a practical point of view, the proposed framework can be applied to predict the probability...

In this paper, we study a nonlinear panel data model with time-varying regression coefficients associated with an additive factor structure. In our model, factor loadings are unknown functions of observable variables which can capture time-varying and heterogeneous covariate information. A...

This technical supplement contains the online Appendix D of "Nonparametric Time-Varying Panel Data Models with Heterogeneity". The proof of Lemma B.9 is provided in Appendix D.1 and Appendix D.2 proves Lemmas C.1 to C.9