This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in Müller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly...

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in M¨uller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly...

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in Müller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly...

This study examines the potential drivers and their spatial components of inflation expectations of consumers in 22 European Union countries by using the spatial Durbin model. The potential determinants are drawn from the macrosphere (oil prices, food prices, house prices, industrial...

A new quantile regression estimator is developed and it is shown to be consistent and asymptotically normal. The estimator is based on estimating functions to which one can obtain consistent roots by finding the minimax of a certain deviance function. This function is conveniently constructed to...

In this paper I discuss three econometric problems that are rarely given adequate discussion in textbooks: model uncertainty, parameter heterogeneity, and outliers. I show how Leamer's extreme bounds analysis can be adapted to address all three problems simultaneously, and present two examples...

This resource contains the materials and structure suggested to run a mini course of approximately 14 hours on spatial data, analysis and regression. The course is structured along four lectures and four labs that require the use of computers.

Migration has a principal influence on countries' population changes. Thus, the issues connected with the causes, effects and directions of people’s movements are a common topic of political and academic discussions. The aim of this paper is to analyse the spatial distribution of officially...