Standard econometric methods can overlook individual heterogeneity in empirical work, generating inconsistent parameter estimates in panel data models. We propose the use of methods that allow researc
This paper shows a convenient way to test whether instrumental variables are correlated with individual effects in a panel data set. It shows that the correlated fixed effects specification tests deve
This paper presents new estimation algorithms for three types of dynamic panel data models with latent variables: factor models, discrete choice models, and persistent-transitory quantile processes. T
We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of p
