In this paper we consider the estimation of a dynamic panel autoregressive (AR) process of possibly infinite order in the presence of individual effects. We employ double asymptotics under which both the cross-sectional sample size and the length of time series tend to infinity and utilize the...

In this paper, we propose a method of averaging generalized least squares estimators for linear regression models with heteroskedastic errors. The averaging weights are chosen to minimize Mallows' Cp-like criterion. We show that the weight vector selected by our method is optimal. It is also...

This paper proposes a model-free approach to analyze panel data with heterogeneous dynamic structures across observational units. We first compute the sample mean, autocovariances, and autocorrelations for each unit, and then estimate the parameters of interest based on their empirical...

This paper develops a new model and estimation procedure for panel data that allows us to identify heterogeneous structural breaks. We model individual heterogeneity using a grouped pattern. For each group, we allow common structural breaks in the coefficients. However, the number, timing, and...

In this paper, we propose a doubly robust method to estimate the heterogeneity of the average treatment effect with respect to observed covariates of interest. We consider a situation where a large number of covariates are needed for identifying the average treatment effect but the covariates of...

In this study, we examine how information provision affects the degree of overconfidence using an online experiment. The 4,210 experimental participants engaged in stock market prediction exercises were asked to evaluate their absolute and relative performance. We conducted a randomized...

This online appendix includes supplemental materials for "Network-motivated Lending Decisions: A Rationale for Forbearance Lending'' by Ogura, Okui, and Saito. Online Appendix 1 contains the proofs of the propositions. Online Appendix 2 presents a numerical example for the theoretical model....