Unconditional quantile treatment effects are difficult to estimate in the presence of fixed effects. Panel data are … effects or differencing of data, however, redefines the quantiles. This paper introduces a quantile estimator for panel data …

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 …

A new Stata command, xtsktest, is proposed to explore non-normalities in linear panel data models. The tests explore … standard panel regression, separately or jointly. The tests are based on recent results by Galvao, Montes- Rojas, Sosa …-Escudero and Wang (2013), and can be seen as extending the classical Bera-Jarque normality test for the case of panel data. …