This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

Poisson (FEP) estimator for panel data models with multiplicative heterogeneity in the conditional mean. In particular, we …, overdispersion, and general patterns of serial correlation. Because parameters in the optimal instruments must be estimated, we argue …

I consider linear panel data models with unobserved factor structures when the number of time periods is small relative …

if the time dimension of the panel is as small as the number of its regressors. Extensions to panels with time effects …

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile … regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the … development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting …