In this paper we study the least squares (LS) estimator in a linear panel regression model with unknown number of …

This paper proposes a quantile regression estimator for a panel data model with interactive effects potentially …

(DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all …

This paper proposes a quantile regression estimator for a panel data model with interactive effects potentially … rejected in favor of the interactive effects specification. -- quantile regression ; panel data ; interactive effects …

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 …

-effect models for panel data. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading …

-effect models for panel data. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading …

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

A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis …