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 article introduces a new procedure for analyzing the quantile co-movement of a large number of financial time series based on a large-scale panel data model with factor structures. The proposed m
