In this paper we use the enhanced consumption data in the Panel Survey of Income Dynamics (PSID) from 2005-2017 to … the presence of unobserved heterogeneity. To reliably estimate heterogeneous responses in our un-balanced panel, we …

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …

error components of panel data models that contain random effects. This general specification encompasses several more … specific space-time structures that have been used recently in the panel data literature. Markov Chain Monte Carlo methods are …

until a recent past. This paper proposes a modelling strategy aimed at a best use of the data for nowcasting based on panel … clustering approach into the usual panel data model specification. A case study in the field of R&D variables illustrates the …

frontier model for panel data. Features of the modeling include time-varying efficiency and estimation of own and spillover …

The asymptotic local powers of various panel unit root tests are investigated. The power envelope is obtained under …}, depending on whether or not incidental trends are extracted from the panel data. In the latter case, when the alternative …

unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size … and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by … true localizing parameter is zero (i.e., when there is a panel unit root) and the deterministic trends in the panel are …

-dimensional panel data with grouped factor structures. The proposed method attempts to capture the level of similarity of each of the …

Standard panel unit root tests (PURTs) are not robust to breaks in innovation variances. Consequently, recent papers …