We analyze a large panel of units grouped by shared extreme value indices (EVIs) and aim to identify these unknown …

Inference on common parameters in panel data models with individual-specific fixed effects is a classic example of … small), but this solution is not applicable to all panel data models of interest. Another solution, which applies to a … applicable to a large class of panel data models even when T is relatively small. …

This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …

This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …

This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …

of information about different parts of the stock's return distribution. Using recursively estimated monthly panel data …