What is the effect of funding costs on the conditional probability of issuing a corporate bond? We study this question in a novel dataset covering 5610 issuances by US firms over the period from 1990 to 2014. Identification of this effect is complicated because of unobserved, common shocks such...

This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured variables and their corresponding average partial effects using only three periods of data. The past observables are used as instruments to control the measurement error problem,...

We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it is natural to impose a group structure on the regression curves. Specifically, we may suppose that the observed individuals can be grouped into a number of classes whose members...

This paper develops methodology for semiparametric panel data models in a setting where both the time series and the cross section are large. Such set tings are common in finance and other areas of economics. Our model allows for heterogeneous nonparametric covariate effects as well as...

We investigate the effects of fragmentation in equity trading on the quality of the trading outcomes, specifically volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the period 2008-2011, which provides a lot of cross-sectional...