a high‐dimensional parameter in both homogeneous cross‐sectional and unit‐heterogeneous dynamic panel data settings. In … dependent time series and panel data. This method "leaves out the neighbors" when fitting nuisance components, and we …‐dimensional. In heterogeneous panel data settings, we model the unobserved unit heterogeneity as a weakly sparse deviation from …

-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T …

We consider within-group estimation of higher-order autoregressive panel models with exogenous regressors and fixed …

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 …

This paper proposes a nonparametric test for common trends in semiparametric panel data models with fixed effects based …

This paper investigates the estimation and inference of spatial panel data models in which the regression coefficient …

In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The …

In this paper we present a new technique to estimate varying coefficient models of unknown form in a panel data …

In this paper the class of admissable tests for unit roots in panel data sets of autoregressive, Gaussian time series …