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Marginal structural models are a popular tool for investigating the effects of time-varying treatments, but they require an assumption of no unobserved confounders between the treatment and outcome. With observational data, this assumption…
We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size.…
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…
This paper develops a simple two-stage variational Bayesian algorithm to estimate panel spatial autoregressive models, where N, the number of cross-sectional units, is much larger than T, the number of time periods without restricting the…
New procedures for detecting a change in the cross-sectional mean of panel data are proposed. The procedures rely on estimating nuisance parameters using certain cross-sectional means across panels using a weighted least squares regression.…
A new partial functional linear regression model for panel data with time varying parameters is introduced. The parameter vector of the multivariate model component is allowed to be completely time varying while the function-valued…
This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed…
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…
This paper provides estimation and inference methods for a conditional average treatment effects (CATE) characterized by a high-dimensional parameter in both homogeneous cross-sectional and unit-heterogeneous dynamic panel data settings. In…
This paper considers the identification of dynamic treatment effects with panel data, in complex designs where the treatment may not be binary and may not be absorbing. We first show that under no-anticipation and parallel-trends…
This paper provides a new approach for identifying and estimating the Average Treatment Effect on the Treated under a linear factor model that allows for multiple time-varying unobservables. Unlike the majority of the literature on…
This paper considers a model with general regressors and unobservable factors. An estimator based on iterated principal components is proposed, which is shown to be not only asymptotically normal and oracle efficient, but under certain…
We develop a new approach for identifying and estimating average causal effects in panel data under a linear factor model with unmeasured confounders. Compared to other methods tackling factor models such as synthetic controls and matrix…
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 develop a general framework for the identification of counterfactual parameters in a class of nonlinear semiparametric panel models with fixed effects and time effects. Our method applies to models for discrete outcomes (e.g., two-way…
This paper develops a novel method to estimate a latent factor model for a large target panel with missing observations by optimally using the information from auxiliary panel data sets. We refer to our estimator as target-PCA. Transfer…
This paper explores the identification and estimation of nonseparable panel data models. We show that the structural function is nonparametrically identified when it is strictly increasing in a scalar unobservable variable, the conditional…
Time series forecasting is extensively applied across diverse domains. Transformer-based models demonstrate significant potential in modeling cross-time and cross-variable interaction. However, we notice that the cross-variable correlation…
The R-package phtt provides estimation procedures for panel data with large dimensions n, T, and general forms of unobservable heterogeneous effects. Particularly, the estimation procedures are those of Bai (2009) and Kneip, Sickles, and…
We study the identification of heterogeneous, intertemporal treatment effects (TE) when potential outcomes depend on past treatments. First, applying a dynamic panel data model to observed outcomes, we show that an instrumental variable…