This paper studies the effects of common shocks on the OLS estimators of the slopes’ parameters in linear panel data models. The shocks are assumed to affect both the errors and some of the explanatory variables. In contrast to existing approaches, which rely on using results on martingale difference sequences, our method relies on conditional strong laws of large numbers and conditional centra...

The objective of this study is to investigate the factors affecting firm competitiveness in an emerging market—Turkey. In the paper, competitiveness is proxied by a firm’s financial performance. The empirical analysis is based on firms listed on Borsa Istanbul and covers the period between 2005 and 2014. Results from a firm-level panel data model indicate that return on assets is positively rel...

Mixed modes (MM) are receiving increased interest as a possible solution for saving costs in panel surveys, although the lasting effects on data quality are unknown. To better understand the effects of MM on panel data I will examine its impact on random and systematic error and on estimates of change. The SF12, a health scale, in the Understanding Society Innovation Panel is used for the analy...

A panel data approach to price-value correlations Abstract Resorting to stationary and non-stationary panel data econometrics we o¤er tests for "Ricardo's 93% theory of value" for 10 OECD countries over di¤erent time ranges. The theory does not …nd empirical support. unit root tests, panel cointegration tests.

Model uncertainty hampers consensus on the key determinants of economic growth. Some recent cross-country cross-sectional analyses have employed Bayesian Model Averaging to tackle the issue of model uncertainty. This paper extends that approach to panel data models with countryspecific fixed effects in order to simultaneously address model uncertainty and endogeneity issues. The empirical findi...