Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - Federal Reserve Bank of Dallas - 2015
This paper develops a cross-sectionally augmented distributed lag (CS-DL) approach to the estimation of long-run effects in large dynamic heterogeneous panel data models with cross-sectionally dependent errors. The asymptotic distribution of the CS-DL estimator is derived under coefficient...