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 provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … approach is illustrated with an application to key financial variables using an unbalanced panel of US firms from merged CRSP …

When analyzing panel data using regression models, it is often reasonable to allow for time-varying covariate effects …. We propose a novel approach to modelling timevarying coefficients in panel data regressions, which is based on penalized …

, organized in a panel data structure. In this paper, we investigate the consequences of applying such methodologies when the data … are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …

We consider large n, T panel data models with fixed effects, persistent common factors allowing for cross … asymptotic normal distributions, irrespective of cointegration. A study of small-sample performance is carried out showing …

countries our findings suggest the existence of a structural break. The panel results are also in favour of the RIRP …

In this paper, we apply the asymptotic theory of panel cointegration developed by Kao and Chiang (1997) to Coe and …