This study develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed …

This paper considers estimation of panel data models with fixed effects. First, we will show that a consistent … "unrestricted fixed effects" estimator does not exist for autoregressive panel data models with initial conditions. We will derive … widely used GMM estimators for the conditional AR(1) panel model are inconsistent under trending fixed effects sequences …

This paper proposes a minimum distance (MD) estimator to estimate panel regression models with measurement error. The …

This paper considers estimation and inference in fixed effects (FE) panel regression models with lagged dependent … generalization of the Nickell type bias derived in the literature for the pure dynamic panel data models. It shows that in the … sufficiently small. To deal with the bias and size distortion of FE estimator when NN is large relative to TT, the use of half-panel …

This paper develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed … estimation of panel data, illustrated by Bertrand, Duflo, and Mullainathan (2004). Thus, we propose a clustered covariance matrix … estimator that solves this problem in panel QR models. In addition, we develop two cluster robust tests and establish their …

Quasi ML estimators (MLEs) for panel AR(1) models with additional regressors. We also consider related GMM estimators. All … heteroskedasticity and are extensions and generalizations of the models considered in Kruiniger (2013. Quasi ML estimation of the panel …

This paper constructs estimators for panel data regression models with individual specific heterogeneity and two …

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile … regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the … development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting …

We propose a new estimator for average causal effects of a binary treatment with panel data in settings with general …