Related papers: Panel Data Models with Nonadditive Unobserved Hete…
The present paper proposes a new treatment effects estimator that is valid when the number of time periods is small, and the parallel trends condition holds conditional on covariates and unobserved heterogeneity in the form of interactive…
In this paper, we define an underlying data generating process that allows for different magnitudes of cross-sectional dependence, along with time series autocorrelation. This is achieved via high-dimensional moving average processes of…
Heterogeneous panel data models that allow the coefficients to vary across individuals and/or change over time have received increasingly more attention in statistics and econometrics. This paper proposes a two-dimensional heterogeneous…
This paper considers a first-order autoregressive panel data model with individual-specific effects and heterogeneous autoregressive coefficients defined on the interval (-1,1], thus allowing for some of the individual processes to have…
We study discrete panel data methods where unobserved heterogeneity is revealed in a first step, in environments where population heterogeneity is not discrete. We focus on two-step grouped fixed-effects (GFE) estimators, where individuals…
We provide new results for nonparametric identification, estimation, and inference of causal effects using `proxy controls': observables that are noisy but informative proxies for unobserved confounding factors. Our analysis applies to…
This paper proposes a method for estimating multiple change points in panel data models with unobserved individual effects via ordinary least-squares (OLS). Typically, in this setting, the OLS slope estimators are inconsistent due to the…
Many panel data have the latent subgroup effect on individuals, and it is important to correctly identify these groups since the efficiency of resulting estimators can be improved significantly by pooling the information of individuals…
We consider identification, inference and validation of linear panel data models when both factors and factor loadings are accounted for by a nonparametric function. This general specification encompasses rather popular models such as the…
This paper proposes a correlated random coefficient linear panel data model, where regressors can be correlated with time-varying and individual-specific random coefficients through both a fixed effect and a time-varying random shock. I…
This paper studies the estimation of linear panel data models with interactive fixed effects, where one dimension of the panel, typically time, may be fixed. To this end, a novel transformation is introduced that reduces the model to a…
We propose employing a high-dimensional generalized method of moments (GMM) estimator, regularized for dimension reduction and subsequently debiased to correct for shrinkage bias (referred to as a debiased-regularized estimator), for…
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…
We develop a methodology for conducting inference on extreme quantiles of unobserved individual heterogeneity (e.g., heterogeneous coefficients, treatment effects) in panel data and meta-analysis settings. Inference is challenging in such…
We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects. Our approach can be regarded as a non-trivial extension of the very popular common correlated effects…
This paper introduces a novel approach for estimating heterogeneous treatment effects of binary treatment in panel data, particularly focusing on short panel data with large cross-sectional data and observed confoundings. In contrast to…
We propose a Hausman test for the correct specification of unobserved heterogeneity in both linear and nonlinear fixed-effects panel data models. The null hypothesis is that heterogeneity is either time-invariant or, symmetrically,…
I study linear panel data models with predetermined regressors (such as lagged dependent variables) where coefficients are individual-specific, allowing for heterogeneity in the effects of the regressors on the dependent variable. I show…
This paper introduces unit-specific heterogeneity in panel data threshold regression. We develop the asymptotic theory for models with heterogeneous thresholds, heterogeneous slope coefficients, and interactive fixed effects. The estimation…
This paper studies a class of linear panel models with random coefficients. We do not restrict the joint distribution of the time-invariant unobserved heterogeneity and the covariates. We investigate identification of the average partial…