We consider the problem of estimation in a panel data sample selection model, where both the selection and the regression equation of interest contain unobservable individual-specific effects.

Identifying causal relationships from observational data is not easy. Still, researchers are often interested in examining the effects of policy changes or other decisions. In those analyses, ...

This paper considers large N and large T panel data models with unobservable multiple interactive effects, which are correlated with the regressors. In earnings studies, for example, workers' ...

We find significant forecasting gains over both linear panel and nonlinear time-series models. Containment or lockdown policies, as instigated at the national level by governments, are found to have ...