Recent Award

Topics in Dynamic Panel Data Analysis, Time-Varying Individual Heterogeneities, and Cross-Sectional Dependence

This research deals with estimation and inference problems for dynamic panel-data models under time-varying individual heterogeneities and cross-sectional dependence (common shocks). An important aspect of these problems is that the individual heterogeneity and the common shocks are correlated with the explanatory variables. This correlation is fundamental for economic variables. Standard procedures such as within-group estimators will lead to inconsistent inferences. This research explores new estimation procedures and related inference problems. It also presents feasible implementation of the suggested procedures.

The last two decades have witnessed a huge development of panel data econometrics, as panel data techniques can solve issues that are hard to solve by either the cross section or time series procedures alone. With the increasing availability of panel data sets, the associated techniques have become the key tools of empirical researchers. The recent advancement and the importance of the panel techniques are summarized by three excellent monographs: Arellano (2003), Batagi (2006), and Hsiao (2003). Much of this literature has focused on the case of time-invariant individual heterogeneities.

Principal Investigator: 

Home Department: 


Thursday, April 1, 2010 to Monday, June 30, 2014

Research Category: 


Don't want to miss our interesting news and updates! Make sure to join our newsletter list.

* indicates required

Contact us

For general questions about ISERP programs, services, and events.

Working Papers Bulletin Sign-up

Sign up here to receive our Working Papers Bulletin, featuring work from researchers across all of the social science departments. To submit your own working paper for our next bulletin, please upload it here, or send it to
* indicates required