Related papers: Panel Data Models with Time-Varying Latent Group S…

We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…

This paper introduces estimation methods for grouped latent heterogeneity in panel data quantile regression. We assume that the observed individuals come from a heterogeneous population with a finite number of types. The number of types and…

We propose statistical inferential procedures for panel data models with interactive fixed effects in a kernel ridge regression framework.Compared with traditional sieve methods, our method is automatic in the sense that it does not require…

This paper investigates nonlinear panel regression models with interactive fixed effects and introduces a general framework for parameter estimation under potentially non-convex objective functions. We propose a computationally feasible…

Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as "fixed…

This article studies the estimation of latent community memberships from pairwise interactions in a network of $N$ nodes, where the observed interactions can be of arbitrary type, including binary, categorical, and vector-valued, and not…

In this paper, we consider detecting and estimating breaks in heterogeneous mean functions of high-dimensional functional time series which are allowed to be cross-sectionally correlated and temporally dependent. A new test statistic…

We develop a structural framework for modeling and inferring unobserved heterogeneity in dynamic panel-data models. Unlike methods treating clustering as a descriptive device, we model heterogeneity as arising from a latent clustering…

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 explores the estimation of a panel data model with cross-sectional interaction that is flexible both in its approach to specifying the network of connections between cross-sectional units, and in controlling for unobserved…

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…

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…

In this paper, we propose a varying coefficient panel data model with unobservable multiple interactive fixed effects that are correlated with the regressors. We approximate each coefficient function by B-spline, and propose a robust…

This paper considers the maximum likelihood estimation of panel data models with interactive effects. Motivated by applications in economics and other social sciences, a notable feature of the model is that the explanatory variables are…

We study the identification and estimation of structural parameters in dynamic panel data logit models where decisions are forward-looking and the joint distribution of unobserved heterogeneity and observable state variables is…

Empirical analysis in economics often faces the difficulty that the data is correlated and heterogeneous in some unknown form. Spatial parametric approaches have been widely used to account for dependence structures, but the problem of…

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…

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…

Testing for stability in linear panel data models has become an important topic in both the statistics and econometrics research communities. The available methodologies address testing for changes in the mean/linear trend, or testing for…

Panel data analysis is an important topic in statistics and econometrics. Traditionally, in panel data analysis, all individuals are assumed to share the same unknown parameters, e.g. the same coefficients of covariates when the linear…