Related papers: Varying Coefficient Panel Data Model with Interact…

The presence of units with extreme values in the dependent and/or independent variables (i.e., vertical outliers, leveraged data) has the potential to severely bias regression coefficients and/or standard errors. This is common with short…

We propose an estimation approach to analyse correlated functional data which are observed on unequal grids or even sparsely. The model we use is a functional linear mixed model, a functional analogue of the linear mixed model. Estimation…

Linear mixed-effects models are widely used in analyzing clustered or repeated measures data. We propose a quasi-likelihood approach for estimation and inference of the unknown parameters in linear mixed-effects models with high-dimensional…

We provide various norm-based definitions of different types of cross-sectional dependence and the relations between them. These definitions facilitate to comprehend and to characterize the various forms of cross-sectional dependence, such…

We study a new model where the potential outcomes, corresponding to the values of a (possibly continuous) treatment, are linked through common factors. The factors can be estimated using a panel of regressors. We propose a procedure to…

We propose a new class of spatio-temporal models with unknown and banded autoregressive coefficient matrices. The setting represents a sparse structure for high-dimensional spatial panel dynamic models when panel members represent economic…

Rooted in genetics, human complex diseases are largely influenced by environmental factors. Existing literature has shown the power of integrative gene-environment interaction analysis by considering the joint effect of environmental…

Semiparametric models are often considered for analyzing longitudinal data for a good balance between flexibility and parsimony. In this paper, we study a class of marginal partially linear quantile models with possibly varying…

Panel data methods are widely used in empirical analysis to address unobserved heterogeneity, but causal inference remains challenging when treatments are endogenous and confounding variables high-dimensional and potentially nonlinear.…

The quantile varying coefficient (VC) model can flexibly capture dynamical patterns of regression coefficients. In addition, due to the quantile check loss function, it is robust against outliers and heavy-tailed distributions of the…

Naive maximum likelihood estimation of binary logit models with fixed effects leads to unreliable inference due to the incidental parameter problem. We study the case of three-dimensional panel data, where the model includes three sets of…

Mixed-effect models are widely used for the analysis of correlated data such as longitudinal data and repeated measures. In this article, we study an approach to the nonparametric estimation of mixed-effect models. We consider models with…

We introduce a statistical method for modeling and forecasting functional panel data represented by multiple densities. Density functions are nonnegative and have a constrained integral and thus do not constitute a linear vector space. We…

This paper considers a nuclear norm penalized estimator for panel data models with interactive effects. The low-rank interactive effects can be an approximate model and the rank of the best approximation unknown and grow with sample size.…

This paper considers panel data models where the conditional quantiles of the dependent variables are additively separable as unknown functions of the regressors and the individual effects. We propose two estimators of the quantile partial…

We demonstrate a data-driven method to solve for the invariant probability density function of a randomly perturbed dynamical system. The key idea is to replace the boundary condition of numerical schemes by a least squares problem…

Nonlinear panel data models with fixed individual effects provide an important set of tools for describing microeconometric data. In a large class of such models (including probit, proportional hazard and quantile regression to name just a…

The paper discusses identification conditions, representations and relations of generalized least squares estimators of regression parameters in multivariate linear regression models such as seemingly unrelated and fixed effect panel…

We discuss techniques of estimation and inference for nonstationary nonlinear cohort panels with learning from experience, showing, inter alia, the consistency and asymptotic normality of the nonlinear least squares estimator used in…

We consider a static linear panel model with both correlated and uncorrelated random coefficients, where the former can depend arbitrarily on observable regressors while the latter are independent of them. We provide sufficient conditions…