This paper considers modeling and detecting structure breaks associated with cross-sectional dependence for large dimensional panel data models, which are popular in many fields including economics and finance. We propose a dynamic factor structure to measure the degree of cross-sectional...

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 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...