arXiv 6 Nov 2023 · Econometrics
arXiv:2311.03471 · PDF · DOI · OpenAlex · Extracted main text
This survey study discusses main aspects to optimal estimation methodologies for panel data regression models. In particular, we present current methodological developments for modeling stationary panel data as well as robust methods for estimation and inference in nonstationary panel data regression models. Some applications from the network econometrics and high dimensional statistics literature are also discussed within a stationary time series environment.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Kapetanios, G., Mitchell, J., and Shin, Y (2014) A nonlinear panel data model of cross-sectional dependence | 0.874 | 14 | 2 | 100% |
| 2 | Olmo, J. and Sanso-Navarro, M (2023) A nonparametric spatial regression model using partitioning estimators | 0.874 | 12 | 2 | 100% |
| 3 | Pesaran, M. H (2006) Estimation and inference in large heterogeneous panels with a multifactor error structure | 0.811 | 4 | 2 | 100% |
| 4 | Moon, H. R. and Phillips, P. C (2000) Estimation of autoregressive roots near unity using panel data | 0.737 | 3 | 2 | 100% |
| 5 | Leung, M. P (2023) Network cluster-robust inference | 0.693 | 14 | 1 | 100% |
| 6 | Goncalves, S. and Kaffo, M (2015) Bootstrap inference for linear dynamic panel data models with individual fixed effects | 0.693 | 10 | 1 | 100% |
| 7 | Wagner, M., Grabarczyk, P., and Hong, S. H (2020) Fully modified ols estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental k… | 0.693 | 9 | 1 | 100% |
| 8 | Juodis, A (2018) First difference transformation in panel var models: Robustness, estimation, and inference | 0.693 | 8 | 1 | 100% |
| 9 | Kostakis, A., Magdalinos, T., and Stamatogiannis, M. P (2015) Robust econometric inference for stock return predictability | 0.693 | 7 | 1 | 100% |
| 10 | Phillips, P. C. B. and Wang, Y (2022) Functional coefficient panel modeling with communal smoothing covariates | 0.693 | 7 | 1 | 100% |
Showing the top 10 of 182 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Robust Estimation in Network Vector Autoregression with Nonstationary Regressors | 0.405 | 1 | 1 |