the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly … estimator, we show that when T is large, a generalized least squares estimator that ignores the correlation between the …

linear panel models with a fixed T - dimension. We advocate for a correlated interaction term estimator (CITE) and show that … properties in a simulation study. In an empirical application, we test whether labor displacement effects of robots are stronger … that standard interaction term estimation underestimates the importance of a country's income level in the relationship …

In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope … heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely … used panel heteroskedasticity and autocorrelation consistent (HAC) variance estimator of the pooled estimator under random …

This paper develops a Stein-like combined estimator for large heterogeneous panel data models under common structural … common correlated effects (CCE) estimation technique, we propose a Stein-like combined estimator of the CCE full …-sample estimator (i.e., estimation using both the pre-break and post-break observations) and the CCE post-break estimator (i …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … 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 … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data … cross section averages must be included in individual equations of the panel, and the number of cross section averages must … dimension of the panel is sufficiently large. …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

This paper provides an approach to estimation and inference for non-linear conditional mean panel data models, in the … out the interactive unobserved multifactor structure. The estimation can be carried out using non-linear least squares, by …

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